Forecasting with Measurement Errors in Dynamic Models

Richard John Harrison (), George Kapetanios () and Anthony Yates ()
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George Kapetanios: Queen Mary, University of London, http://www.econ.qmul.ac.uk/staff/kapetanios/

No 521, Working Papers from Queen Mary, University of London, Department of Economics

Abstract: In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations on the most recent events contain the the largest signal about the future. We discuss a variety of forecasting problems in this environment, and present an application using a univariate model of the quarterly growth of UK private consumption expenditure.

Keywords: Forecasting; Data revisions; Dynamic models (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-10
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Related works:
Working Paper: Forecasting with measurement errors in dynamic models
Working Paper: Forecasting with measurement errors in dynamic models (2003)
Journal Article: Forecasting with measurement errors in dynamic models (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:qmw:qmwecw:wp521

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