Forecasting Substantial Data Revisions in the Presence of Model Uncertainty

Anthony Garratt (), Gary Koop () and Shaun P. Vahey

Economic Journal, 2008, vol. 118, issue 530, pages 1128-1144

Abstract: A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this article, we compute the probability of 'substantial revisions' that are greater (in absolute value) than the controversial 2003 revision. The predictive densities are derived from Bayesian model averaging over a wide set of forecasting models including linear, structural break and regime-switching models with and without heteroscedasticity. Ignoring the nonlinearities and model uncertainty yields misleading predictives and obscures recent improvements in the quality of preliminary UK macroeconomic measurements. Copyright © The Author(s). Journal compilation © Royal Economic Society 2008.

Date: 2008
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Related works:
Working Paper: Forecasting Substantial Data Revisions in the Presence of Model Uncertainty (2006)
Working Paper: Forecasting Substantial Data Revisions in the Presence of Model Uncertainty (2006)
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