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A real-time data set for macroeconomists: does data vintage matter for forecasting?

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Author Info

  • Dean Croushore
  • Tom Stark

Abstract

This paper describes a real-time data set for macroeconomists that can be used for a variety of purposes, including forecast evaluation. The data set consists of quarterly vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper explains the construction of the data set, examines the properties of several of the variables in the data set across vintages, and provides an example showing how data revisions can affect forecasts.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 00-6.

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Date of creation: 2000
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Handle: RePEc:fip:fedpwp:00-6

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Keywords: Forecasting;

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References

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  2. Dean Croushore & Tom Stark, 1999. "A real-time data set for marcoeconomists: does the data vintage matter?," Working Papers, Federal Reserve Bank of Philadelphia 99-21, Federal Reserve Bank of Philadelphia.
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  7. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers, CIRANO 98s-40, CIRANO.
  8. Evan F. Koenig & Sheila Dolmas, 1997. "Real-time GDP Growth Forecasts," Working Papers, Federal Reserve Bank of Dallas 9710, Federal Reserve Bank of Dallas.
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  10. Dean Croushore & Charles L. Evans, 2000. "Data Revisions and the Identification of Monetary Policy Shocks," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0842, Econometric Society.
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  21. Charles L. Evans, 1998. "Real-time Taylor rules and the federal funds futures market," Economic Perspectives, Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, issue Q III, pages 44-55.
  22. Maravall, Agustin & Pierce, David A, 1986. "The Transmission of Data Noise into Policy Noise in U.S. Monetary Control," Econometrica, Econometric Society, Econometric Society, vol. 54(4), pages 961-79, July.
  23. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 714-35, September.
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  27. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, American Economic Association, vol. 80(3), pages 375-89, June.
  28. Dean Croushore & Tom Stark, 1999. "Does data vintage matter for forecasting?," Working Papers, Federal Reserve Bank of Philadelphia 99-15, Federal Reserve Bank of Philadelphia.
  29. William Conrad & Carol Corrado, 1978. "Applications of the Kalman filter to revisions in monthly retail sales estimates," Special Studies Papers, Board of Governors of the Federal Reserve System (U.S.) 125, Board of Governors of the Federal Reserve System (U.S.).
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  31. Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 60(2), pages 193-200, May.
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Citations

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Cited by:
  1. Karen E. Dynan & Douglas Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-52, Board of Governors of the Federal Reserve System (U.S.).
  2. Fackler, James S., 2002. "Comment on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, Elsevier, vol. 24(4), pages 559-562, December.
  3. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank 0276, European Central Bank.
  4. William B. English & William R. Nelson & Brian P. Sack, 2002. "Interpreting the significance of lagged interest rate in estimated monetary policy rules," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2002-24, Board of Governors of the Federal Reserve System (U.S.).
  5. Scott Schuh, 2001. "An evaluation of recent macroeconomic forecast errors," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, pages 35-56.

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