EconPapers    
Economics at your fingertips  
 

Forecasting with Measurement Errors in Dynamic Models

Richard Harrison () and George Kapetanios
Additional contact information
George Kapetanios: Queen Mary, University of London

No 521, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations on the most recent events contain the the largest signal about the future. We discuss a variety of forecasting problems in this environment, and present an application using a univariate model of the quarterly growth of UK private consumption expenditure.

Keywords: Forecasting; Data revisions; Dynamic models (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2004-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/wor ... 2004/items/wp521.pdf (application/pdf)

Related works:
Journal Article: Forecasting with measurement errors in dynamic models (2005) Downloads
Working Paper: Forecasting with measurement errors in dynamic models (2004) Downloads
Working Paper: Forecasting with Measurement Errors in Dynamic Models (2004) Downloads
Working Paper: Forecasting with measurement errors in dynamic models (2003) Downloads
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:qmw:qmwecw:521

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).

 
Page updated 2020-09-16
Handle: RePEc:qmw:qmwecw:521