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Short-Run Italian GDP Forecasting and Real-Time Data

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Author Info
Golinelli, Roberto
Parigi, Giuseppe

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Abstract

National accounts statistics undergo a process of revisions over time because of the accumulation of information and, less frequently, of deeper changes, as new definitions, new methodologies etc. are implemented. In this paper we try to characterise the revision process of the data of Italian GDP as published by the national statistical office (ISTAT) in the stream of the noise models literature. The analysis shows that this task can be better accomplished by concentrating on the growth rates of the data instead of the levels. Another issue tackled in the paper concerns the informative content of the preliminary releases vis a vis an intermediate vintage supposed to embody all statistical information (or no longer revisable as far as purely statistical changes are concerned) and the latest vintage of the data, supposed to be the definitive one. The analysis of the news models in differences is based on the comparison of the forecasting performance of the preliminary releases with that of a number of one step ahead forecasts computed from alternative models, ranging from very simple univariate to multivariate specifications based on indicators (bridge models). Results show that, for the intermediate vintage, the preliminary version is the better forecast, while the latest vintage, which embodies statistical as well as definitional revisions, may be better characterised by considering both the preliminary version and the bridge models forecasts.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5302.

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Date of creation: Oct 2005
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Handle: RePEc:cpr:ceprdp:5302

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Related research
Keywords: consistent vintages; predictions of 'actual' GDP; preliminary GDP forecasting; real-time data set for Italian GDP;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006. [Downloadable!]
  2. Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 271-296, August. [Downloadable!] (restricted)
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