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Forecasting with Measurement Errors in Dynamic Models

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Author Info
Richard Harrison (Bank of England)
George Kapetanios () (Queen Mary, University of London)
Tony Yates (Bank of England)

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Abstract

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations on the most recent events contain the the largest signal about the future. We discuss a variety of forecasting problems in this environment, and present an application using a univariate model of the quarterly growth of UK private consumption expenditure.

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Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 521.

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Date of creation: Oct 2004
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Handle: RePEc:qmw:qmwecw:wp521

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Keywords: Forecasting Data revisions Dynamic models

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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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.:
  1. Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO. [Downloadable!]
    Other versions:
  2. 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, 07. [Downloadable!] (restricted)
    Other versions:
  3. Patterson, Kerry D & Heravi, Saeed M, 1991. "Data Revisions and the Expenditure Components of GDP," Economic Journal, Royal Economic Society, vol. 101(407), pages 887-901, July. [Downloadable!] (restricted)
  4. 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!]
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  5. Fabio Busetti, 2001. "The use of preliminary data in econometric forecasting: an application with the Bank of Italy Quarterly Model," Temi di discussione (Economic working papers) 437, Bank of Italy, Economic Research Department. [Downloadable!]
  6. Orphanides, Athanasios, 2003. "The quest for prosperity without inflation," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 633-663, April. [Downloadable!] (restricted)
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  7. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-58, October.
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  8. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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  9. Hoffman, Dennis L & Rasche, Robert H, 1996. "Assessing Forecast Performance in a Cointegrated System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 495-517, Sept.-Oct. [Downloadable!] (restricted)
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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.)

  1. Alastair Cunningham & Jana Eklund & Christopher Jeffery & George Kapetanios & Vincent Labhard, . "A state space approach to extracting the signal from uncertain data," Bank of England working papers 336, Bank of England. [Downloadable!]
  2. Jarkko Jääskelä & Tony Yates, . "Monetary policy and data uncertainty," Bank of England working papers 281, Bank of England. [Downloadable!]
  3. Paul Downward & Andrew Mearman, 2005. "Methodological Triangulation at the Bank of England:An Investigation," Discussion Papers 0505, University of the West of England, Department of Economics. [Downloadable!]
  4. Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008. "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, vol. 34(3), pages 493-524, June. [Downloadable!] (restricted)
  5. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
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