Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions
Michael Clements and
Ana Galvão ()
The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics
We show how to improve the accuracy of real-time forecasts from models that include au-toregressive terms by estimating the models on ‘lightly-revised’data instead of using data from the latest-available vintage. Forecast accuracy is improved by reorganizing the data vintages employed in the estimation of the model in such a way that the vintages used in estimation are of a similar maturity to the data in the forecast loss function. The size of the expected reductions in mean squared error depend on the characteristics of the data revision process. Empirically, we …nd RMSFE gains of 2-4% when forecasting output growth and in‡ation with AR models, and gains of the order of 8% with ADL models.
Keywords: real-time data; news and noise revisions; optimal forecasts; multi-vintage models. JEL Classification: C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... s/2010/twerp_953.pdf
Working Paper: Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:953
Access Statistics for this paper
More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().