Forecasting with Measurement Errors in Dynamic Models

Richard Harrison and George Kapetanios

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
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Forecasting with measurement errors in dynamic models (2005)
Working Paper: Forecasting with measurement errors in dynamic models (2004)
Working Paper: Forecasting with measurement errors in dynamic models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:521

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