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Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?

Hui Feng

No 515, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA model and nonlinear SETAR model are considered in this study. Two Canadian macroeconomic time series have been analyzed: the real-time monetary aggregate M3 (1977-2000), and residential mortgage credit (1975-1998). The forecasting method we use is multi-step-ahead non-adaptive forecasting.

Keywords: Vintage Data; Real-time Data; Model Selection; SETAR Model; ARMA model; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-08-24
New Economics Papers: this item is included in nep-ets, nep-for and nep-mac
Note: ISSN 1485-6441
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0515

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