The Use and Abuse of Real-Time Data in Economic Forecasting

Evan Koenig, Sheila Dolmas and Jeremy Piger

The Review of Economics and Statistics, 2003, vol. 85, issue 3, 618-628

Abstract: We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2003
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Related works:
Working Paper: The use and abuse of 'real-time' data in economic forecasting (2002)
Working Paper: The use and abuse of \"real-time\" data in economic forecasting (2000)
Working Paper: The use and abuse of \"real-time\" data in economic forecasting (2000)
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