The Use and Abuse of Real-Time Data in Economic Forecasting
We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales...
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| Veröffentlicht in: | The review of economics and statistics 2003-08, Vol.85 (3), p.618-628 |
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| container_end_page | 628 |
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| container_title | The review of economics and statistics |
| container_volume | 85 |
| creator | Koenig, Evan F. Dolmas, Sheila Piger, Jeremy |
| description | We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus. |
| doi_str_mv | 10.1162/003465303322369768 |
| format | Article |
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| ispartof | The review of economics and statistics, 2003-08, Vol.85 (3), p.618-628 |
| issn | 0034-6535 1530-9142 |
| language | eng |
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| source | JSTOR Mathematics & Statistics; EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; MIT Press Journals |
| subjects | Blue Chip forecast Blue chip stocks Econometrics Economic forecasting Economic growth Economic models Economic theory Employment forecasting Forecasting models Gross domestic product Preliminary estimates Real time Statistical forecasts Studies Time series forecasting |
| title | The Use and Abuse of Real-Time Data in Economic Forecasting |
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