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The use and abuse of "real-time" data in economic forecasting

Evan Koenig, Sheila Dolmas and Jeremy Piger ()

No 4, Working Papers from Federal Reserve Bank of Dallas

Abstract: We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.

JEL-codes: C13 C82 (search for similar items in EconPapers)
Date: 2000
Note: Published as: Koenig, Evan F., Shelia Dolmas and Jeremy Piger (2003), "The Use and Abuse of "Real-Time" Data in Economic Forecasting," The Review of Economics and Statistics 85 (3): 618-628.
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Related works:
Journal Article: The Use and Abuse of Real-Time Data in Economic Forecasting (2003) Downloads
Working Paper: The use and abuse of 'real-time' data in economic forecasting (2002) Downloads
Working Paper: The use and abuse of "real-time" data in economic forecasting (2000) Downloads
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