Search Results - subject:"Data Revisions"

Forecasting data revisions of GDP: a mixed frequency approach

Hogrefe, Jens - In: AStA Advances in Statistical Analysis 92 (2008) 3, pp. 271-296

Persistent link: https://www.econbiz.de/10005155566

Chapter 17 Forecasting with Real-Time Macroeconomic Data

Croushore, Dean - 2006

illustrate the real-time data issues. Then we look at the data that have been developed for U.S. data revisions, called the “Real … data set by Stark and Croushore (2002), Journal of Macroeconomics 24, 507–531, to illustrate how the data revisions could … of forecasting with real-time data as opposed to latest-available data, and examine the sensitivity to data revisions of …

Persistent link: https://www.econbiz.de/10014023689

How Forecasts Evolve - The Growth Forecasts of the Federal Reserve and the Bank of England

Allen, William A.; Mills, Terence - In: National Institute Economic Review 193 (2005) 1, pp. 53-59

We investigate how central bank forecasts of GDP growth evolve through time, and how they are adapted in the light of official estimates of actual GDP growth. Using data for 1988-2005, we find that the Federal Open Market Committee (FOMC) has typically adjusted its forecast for growth over the...

Persistent link: https://www.econbiz.de/10011135884

Robustness of Forecasting Financial Crises in Emerging Market Economies with Data Revisionsâ€”A Note

Reagle, Derrick; Salvatore, Dominick - In: Open Economies Review 16 (2005) 2, pp. 209-216

Data revisions routinely introduced by the World Bank can lead to significant revisions in empirical results. We show …

Persistent link: https://www.econbiz.de/10005715037

Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models

Kapetanios, George; Yates, Tony - School of Economics and Finance, Queen Mary - 2004

Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of...

Persistent link: https://www.econbiz.de/10005106334

Forecasting with Measurement Errors in Dynamic Models

Harrison, Richard; Kapetanios, George; Yates, Tony - School of Economics and Finance, Queen Mary - 2004

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...

Persistent link: https://www.econbiz.de/10005106463

Modeling Data Revisions

Julio, Juan Manuel - Banco de la Republica de Colombia

A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two …

Persistent link: https://www.econbiz.de/10008835101

Data Revisions and the Output Gap

Julio, Juan Manuel - Banco de la Republica de Colombia

derived from a model for data revisions. The new GDP time series is augmented with optimal out-of-sample forecasts and back … to GDP revisions and delays. The short term noise of the final output gap estimate is also reduced. Adjusting for data … revisions and delays reduce the uncertainty of estimated gaps. The extended and further extended HP estimates of the output gap …

Persistent link: https://www.econbiz.de/10008838420

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