Forecasting Data Vintages
AbstractThis article provides a discussion of Clements and Galvão’s “Forecasting with Vector Autoregressive Models of Data Vintages: US output growth and inflation.” Clements and Galvão argue that a multiple-vintage VAR model can be useful for forecasting data that are subject to revisions. Clements and Galvão draw a “distinction between forecasting future observations and revisions to past data,” which brings yet another real time data issue to the attention of forecasters. This comment discusses the importance of taking data revisions into consideration and compares the multiple-vintage VAR approach of Clements and Galvão to a state-space approach.
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Bibliographic InfoPaper provided by The George Washington University, Department of Economics, Research Program on Forecasting in its series Working Papers with number 2012-001.
Length: 8 pages
Date of creation: Jan 2012
Date of revision:
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More information through EDIRC
Real time data; Evaluating forecasts; Forecasting practice; Time series; Econometric models;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-CBA-2012-02-08 (Central Banking)
- NEP-ECM-2012-02-08 (Econometrics)
- NEP-ETS-2012-02-08 (Econometric Time Series)
- NEP-FOR-2012-02-08 (Forecasting)
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.:
- N. Kundan Kishor & Evan F. Koenig, 2009.
"VAR Estimation and Forecasting When Data Are Subject to Revision,"
Journal of Business & Economic Statistics,
Taylor & Francis Journals, vol. 30(2), pages 181-190, July.
- N. Kundan Kishor & Evan F. Koenig, 2005. "VAR estimation and forecasting when data are subject to revision," Working Papers 0501, Federal Reserve Bank of Dallas.
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2000.
"The use and abuse of "real-time" data in economic forecasting,"
International Finance Discussion Papers
684, Board of Governors of the Federal Reserve System (U.S.).
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003. "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 618-628, August.
- Evan Koenig & Sheila Dolmas & Jeremy M. Piger, 2002. "The use and abuse of 'real-time' data in economic forecasting," Working Papers 2001-015, Federal Reserve Bank of St. Louis.
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2000. "The use and abuse of "real-time" data in economic forecasting," Working Papers 0004, Federal Reserve Bank of Dallas.
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