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Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth

Ana Galvão () and James Mitchell ()

No ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers from Economic Statistics Centre of Excellence (ESCoE)

Abstract: Historical economic data are often uncertain due to sampling and non-sampling errors. But data uncertainty is rarely communicated quantitatively. An exception are the "fan charts" for historical GDP growth published at the Bank of England. We propose a generic loss function based approach to extract from these ex ante density forecasts a quantitative measure of unforecastable data uncertainty. We find GDP data uncertainty in the UK rose sharply at the onset of the 2008/9 recession; and that data uncertainty is positively correlated with popular estimates of macroeconomic uncertainty.

Keywords: data revisions; fan charts; macroeconomic uncertainty; backcasts; ex ante uncertainty; ex post uncertainty; density forecast calibration; real time data (search for similar items in EconPapers)
JEL-codes: C53 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2019-05
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Working Paper: Measuring Data Uncertainty: An Application using the Bank of England’s “Fan Charts” for Historical GDP Growth (2019) Downloads
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