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Examining the Quality of Early GDP Component Estimates

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Author Info

  • Tara M. Sinclair

    () (George Washington University)

  • H.O. Stekler

    () (George Washington University)

Abstract

In this paper we examine the quality of the initial estimates of headline GDP and 10 major components of both real and nominal U.S. GDP. We ask a number of questions about various characteristics of the differences between the initial estimates available one month after the end of the quarter to the estimates available three months after the end of the quarter. Do the first estimates have the same directional signs as the later numbers? Are the original numbers unbiased estimates of the later figures? Are any observed biases related to the state of the economy? Finally, we determine whether there is a significant difference between the vector of the 30 day estimates of the 10 major components and the vector of the 90 day estimates of the same components. We conclude that, despite the existence of some bias, under most circumstances, an analyst could use the early data to obtain a realistic picture of what had happened in the economy in the previous quarter.

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File URL: http://www.gwu.edu/~forcpgm/2011-001.pdf
File Function: Second version, 2011
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Bibliographic Info

Paper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2011-001.

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Length: 35 pages
Date of creation: Feb 2011
Date of revision: Dec 2011
Handle: RePEc:gwc:wpaper:2011-001

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Related research

Keywords: Flash Estimates; Data Revisions; GDP Components; Statistical Tests; Business Cycles;

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References

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  1. Clements, Michael P. & Hendry, David F., 2006. "Forecasting with Breaks," Handbook of Economic Forecasting, Elsevier.
  2. Oller, Lars-Erik & Teterukovsky, Alex, 2007. "Quantifying the quality of macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 23(2), pages 205-217.
  3. Sinclair, Tara M. & Joutz, Fred & Stekler, H.O., 2010. "Can the Fed predict the state of the economy?," Economics Letters, Elsevier, vol. 108(1), pages 28-32, July.
  4. Frederick Joutz & H. O. Stekler, 1998. "Data revisions and forecasting," Applied Economics, Taylor and Francis Journals, vol. 30(8), pages 1011-1016.
  5. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
  6. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
  7. Karen E. Dynan & Douglas Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series 2001-52, Board of Governors of the Federal Reserve System (U.S.).
  8. Croushore, Dean, 2006. "Forecasting with Real-Time Macroeconomic Data," Handbook of Economic Forecasting, Elsevier.
  9. Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
  10. 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.).
  11. Chanont Banternghansa & Michael W. McCracken, 2009. "Forecast disagreement among FOMC members," Working Papers 2009-059, Federal Reserve Bank of St. Louis.
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Cited by:
  1. repec:amu:wpaper:2013-04 is not listed on IDEAS
  2. Tara M. Sinclair & H.O. Stekler & Warren Carnow, 2012. "Evaluating A Vector Of The Fed’S Forecasts," Working Papers 2012-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  3. Tara M. Sinclair, 2012. "Characteristics and Implications of Chinese Macroeconomic Data Revisions," Working Papers 2012-09, The George Washington University, Institute for International Economic Policy.

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