Revisions in ocial data and forecasting

Cecilia Frale () and Valentina Raponi ()
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Cecilia Frale: Italian Department of Treasury
Valentina Raponi: University of Rome La Sapienza

No 1194, Working Papers LuissLab from Dipartimento di Economia e Finanza, LUISS Guido Carli

Abstract: This paper deals with the topic of revision of data with the aim of investigating whether consecutive releases of macroeconomic series published by statistical agencies contain useful information for economic analysis and forecasting. The rationality of the re- visions process is tested considering the complete history of data and an empirical application to show the usefulness of revisions for improving the precision of forecast- ing model is proposed. The results for Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error.

Keywords: Revisions; of; data.; Forecasting.; Rationality; tests.; Mixed; frequency; models.; Dynamic; factor; Models. (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:lui:lleewp:1194

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