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

Sheila Dolmas, Evan Koenig and Jeremy Piger

No 684, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

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.

Keywords: Forecasting; economic conditions - United States (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The Use and Abuse of Real-Time Data in Economic Forecasting (2003)
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)
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