UK Real-time Macro Data Characteristics

Shaun Vahey and Anthony Garratt (anthony.garratt@wbs.ac.uk)

No 253, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregresion to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth

Keywords: real-time data; structural breaks; probability event (search for similar items in EconPapers)
JEL-codes: C22 C82 E00 (search for similar items in EconPapers)
Date: 2005-11-11
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Journal Article: UK Real-Time Macro Data Characteristics (2006)
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