This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Do provisional estimates of output miss economic turning points? Author info | Abstract | Publisher info | Download info | Related research | Statistics Karen E. Dynan
Douglas Elmendorf
Additional information is available for the following
registered author(s):
Initial estimates of aggregate output and its components are based on very incomplete source data, so they may not fully capture shifts in economic conditions. In particular, if those estimates are based partly on trends in preceding quarters, provisional estimates may overstate activity when actual output is decelerating and understate it when actual output is accelerating. We examine this issue using the Real Time Data Set for Macroeconomists, which contains contemporaneous estimates of GNP or GDP and its components beginning in the late 1960s, as well as financial-market information and other data. We find that provisional estimates tend to partially miss accelerations and decelerations. We also consider whether better use of contemporaneous data could improve the quality of provisional estimates. We find that provisional estimates do not represent optimal forecasts of the current estimates, but that the improvement in forecast quality from including additional data appears to be quite small.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number
2001-52.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: 2001Date of revision:
Handle: RePEc:fip:fedgfe:2001-52Contact details of provider: Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551 Web page: http://www.federalreserve.gov/ More information through EDIRC
Order Information: Web: http://www.federalreserve.gov/pubs/feds/fedsorder.html
For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).
Keywords: Forecasting Macroeconomics Other versions of this item:
This paper has been announced in the following NEP Reports :
References listed on IDEAS 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.: Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix ,"
Econometrica ,
Econometric Society, vol. 55(3), pages 703-08, May.
[Downloadable!] (restricted)
Other versions: Dean Croushore & Tom Stark, 2000.
"A real-time data set for macroeconomists: does data vintage matter for forecasting? ,"
Working Papers
00-6, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Boldin, Michael D, 1994.
"Dating Turning Points in the Business Cycle ,"
Journal of Business ,
University of Chicago Press, vol. 67(1), pages 97-131, January.
[Downloadable!] (restricted)
Mork, Knut Anton, 1987.
"Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 5(2), pages 165-75, April.
Siklos, Pierre L, 1996.
"An Empirical Exploration of Revisions in U.S. National Income Aggregates ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 6(1), pages 59-70, February.
[Downloadable!] (restricted)
David E. Runkle, 1998.
"Revisionist history: how data revisions distort economic policy research ,"
Quarterly Review ,
Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
[Downloadable!]
Athanasios Orphanides & Simon van Norden, 1999.
"The Reliability of Output Gap Estimates in Real Time ,"
Macroeconomics
9907006, EconWPA.
[Downloadable!]
Other versions: N. Gregory Mankiw & Matthew D. Shapiro, 1986.
"News or Noise? An Analysis of GNP Revisions ,"
NBER Working Papers
1939, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Athanasios Orphanides, 2001.
"Monetary Policy Rules Based on Real-Time Data ,"
American Economic Review ,
American Economic Association, vol. 91(4), pages 964-985, September.
[Downloadable!] (restricted)
Other versions: Brodsky, Noel & Newbold, Paul, 1994.
"Late forecasts and early revisions of United States GNP ,"
International Journal of Forecasting ,
Elsevier, vol. 10(3), pages 455-460, November.
[Downloadable!] (restricted)
Jon Faust & John H. Rogers & Jonathan H. Wright, 2000.
"News and noise in G-7 GDP announcements ,"
International Finance Discussion Papers
690, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005.
"News and Noise in G-7 GDP Announcements ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 37(3), pages 403-19, June.
Charles L. Evans, 1998.
"Real-time Taylor rules and the federal funds futures market ,"
Economic Perspectives ,
Federal Reserve Bank of Chicago, issue Q III, pages 44-55.
[Downloadable!]
Karl Whelan, 2000.
"A guide to the use of chain aggregated NIPA data ,"
Finance and Economics Discussion Series
2000-35, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Full
references 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.)
Evans, Martin D, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy ,"
MPRA Paper
831, University Library of Munich, Germany.
[Downloadable!]
Other versions:
Evans, Martin D.D., 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy ,"
CEPR Discussion Papers
5270, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Martin D.D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macro Economy ,"
NBER Working Papers
11064, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Martin D. D. Evans(Georgetown University and NBER), .
"Where Are We Now? Real-time Estimates of the Macro Economy ,"
Working Papers
gueconwpa~05-05-02, Georgetown University, Department of Economics.
[Downloadable!] Dennis J. Fixler & Jeremy J. Nalewaik, 2006.
"News, Noise, and Estimates of the "True" Unobserved State of the Economy ,"
BEA Working Papers
0017, Bureau of Economic Analysis.
[Downloadable!]
Dennis J. Fixler & Jeremy J. Nalewaik, 2007.
"News, noise, and estimates of the "true" unobserved state of the economy ,"
Finance and Economics Discussion Series
2007-34, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Karen E. Dynan & Douglas W. Elmendorf & Daniel E. Sichel, 2005.
"Can financial innovation help to explain the reduced volatility of economic activity? ,"
Finance and Economics Discussion Series
2005-54, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Martin D. D. Evans, 2005.
"Where Are We Now? Real-Time Estimates of the Macroeconomy ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 1(2), September.
[Downloadable!]
Dennis J. Fixler & Bruce T. Grimm, 2003.
"Revisions, Rationality, and Turning Points in GDP ,"
BEA Working Papers
0009, Bureau of Economic Analysis.
[Downloadable!]
Jeremy J. Nalewaik, 2008.
"Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data ,"
Finance and Economics Discussion Series
2008-15, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Dean Croushore, 2008.
"Frontiers of real-time data analysis ,"
Working Papers
08-4, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Döpke, Jörg, 2004.
"Real-time data and business cycle analysis in Germany ,"
Discussion Paper Series 1: Economic Studies
2004,11, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Monica Martin & Cristiano Papile, 2004.
"The Bank of Canada's Business Outlook Survey: An Assessment ,"
Working Papers
04-15, Bank of Canada.
[Downloadable!]
Access and
download statistics Did you know? Want to help out with this project? Look for volunteer opportunities .
This page was last updated on 2008-8-8.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .