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

Ana Galvão and James Mitchell

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)
Date: 2019-05
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://escoe-website.s3.amazonaws.com/wp-content/ ... ESCoE-DP-2019-08.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nsr:escoed:escoe-dp-2019-08

Access Statistics for this paper

More papers in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers from Economic Statistics Centre of Excellence (ESCoE) King's College London Strand London WC2R 2LS. Contact information at EDIRC.
Bibliographic data for series maintained by ESCoE Centre Manager ().