Real-time probability forecasts of UK macroeconomic events

Anthony Garratt, Kevin Lee () and Shaun Vahey
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Anthony Garratt: Birbeck College, University of London, a.garratt@bbk.ac.uk

National Institute Economic Review, 2008, vol. 203, issue 1, 78-90

Abstract: An overview is provided of the issues raised in the recent literature on the use of real-time data in the context of nowcasting and forecasting UK macroeconomic events. The ideas are illustrated through two specific applications using UK real-time data available over 1961-2006 and prroviding probability forecasts that could have been produced in real time over the past twenty years. In the first, we consider the reliability of first-release data on the components of UK aggregate demand by looking at forecasts of the probability of substantial data revisions. In the second, we consider the estimation of the output gap, illustrating the uncertainty surrounding its measurement through density forecasts and focusing on its interpretation in terms of inflationary pressure through an event probability forecast.

Keywords: real-time data; data revision; probability forecasts (search for similar items in EconPapers)
Date: 2008
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Journal Article: Real-time probability forecasts of UK macroeconomic events (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:niesru:v:203:y:2008:i:1:p:78-90

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