Revisions in official data and forecasting

Valentina Raponi () and Cecilia Frale ()

Statistical Methods & Applications, 2014, vol. 23, issue 3, 472 pages

Abstract: This paper deals with the topic of revisions in macroeconomic Italian data with the aim of investigating whether consecutive vintages published by the National Statistical Institute contain useful information for economic analysis and forecasting. The rationality of the revisions process is tested considering the complete history of data and an application to show the usefulness of revisions for improving the precision of forecasts is proposed. The results on Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Data revisions; Real-time dataset; Mixed frequency; Dynamic factor model; E32; E37; C53 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10260-014-0262-y

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