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

Sheila Dolmas, Evan Koenig and Jeremy Piger

No 2001-015, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is 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: 2002
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Citations: View citations in EconPapers (1)

Published in Review of Economics and Statistics, August 2003, 85(3), pp. 618-28

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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 (2000)
Working Paper: The use and abuse of \"real-time\" data in economic forecasting (2000)
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DOI: 10.20955/wp.2001.015

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