Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables

Michael Clements and Ana Galvão

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: Macroeconomic data are subject to revision over time as later vintages are released, yet the usual way of generating real-time out-of-sample forecasts from models effectively makes no allowance for this form of data uncertainty. We analyze a simple method which has been used in the context of point forecasting, and does make an allowance for data uncertainty. This method is applied to density forecasting in the presence of time-varying heteroscedasticity, and is shown in principle to improve real-time density forecasts. We show that the magnitude of the expected improvements depends on the nature of the data revisions.

Keywords: real-time forecasting; inflation and output growth predictive densities; real-time-vintages; time-varying heteroscedasticity. (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.henley.ac.uk/files/pdf/research/papers- ... ments_and_Galvao.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.henley.ac.uk/files/pdf/research/papers-publications/ICM-2017-01_Clements_and_Galvao.pdf [302 Found]--> https://www.henley.ac.uk/files/pdf/research/papers-publications/ICM-2017-01_Clements_and_Galvao.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:rdg:icmadp:icma-dp2017-01

Access Statistics for this paper

More papers in ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().