Nowcasting and predicting data revisions in real time using qualitative panel survey data
AbstractThe qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly-used method to produce an aggregate quantitative indicator from business survey responses - the net balance, or diffusion index - has changed little in 40 years. It focuses on the proportion of survey respondents replying "up", "the same" or "down". This paper investigates whether an improved real-time signal of official output data changes can be derived from a recently advanced method on the aggregation of survey data from panel responses. It also considers the ability of survey data to anticipate revisions to official output data. We find, in a New Zealand application, that exploiting the panel dimension to qualitative survey data gives a better in-sample signal about official data than traditional methods. This is achieved by giving a higher weight to firms whose answers have a close link to official data than to those whose experiences correspond only weakly or not at all. Out-of-sample, it is less clear it matters how survey data are quantified with simpler and more parsimonious methods hard to improve. It is clear, nevertheless, that survey data, exploited in some form, help to explain revisions to official data.
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Bibliographic InfoPaper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2007/02.
Length: 25 p.
Date of creation: Feb 2007
Date of revision:
Find related papers by JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-10 (All new papers)
- NEP-ECM-2007-02-10 (Econometrics)
- NEP-ETS-2007-02-10 (Econometric Time Series)
- NEP-FOR-2007-02-10 (Forecasting)
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