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Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence

Author

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  • Heinisch Katja

    (Halle Institute for Economic Research (IWH), Halle (Saale), Germany)

  • Scheufele Rolf

    (Swiss National Bank (SNB), Zürich, Switzerland)

Abstract

In this paper, we investigate whether differences exist among forecasts using real-time or latest-available data to predict gross domestic product (GDP). We employ mixed-frequency models and real-time data to reassess the role of surveys and financial data relative to industrial production and orders in Germany. Although we find evidence that forecast characteristics based on real-time and final data releases differ, we also observe minimal impacts on the relative forecasting performance of indicator models. However, when obtaining the optimal combination of soft and hard data, the use of final release data may understate the role of survey information.

Suggested Citation

  • Heinisch Katja & Scheufele Rolf, 2019. "Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence," German Economic Review, De Gruyter, vol. 20(4), pages 170-200, December.
    • Handle: RePEc:bpj:germec:v:20:y:2019:i:4:p:e170-e200
    DOI: 10.1111/geer.12163
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    2. Grimme, Christian & Lehmann, Robert & Noeller, Marvin, 2021. "Forecasting imports with information from abroad," Economic Modelling, Elsevier, vol. 98(C), pages 109-117.
    3. Stefan Sauer & Klaus Wohlrabe, 2020. "ifo Handbuch der Konjunkturumfragen," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 88.

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    More about this item

    Keywords

    Mixed-frequency VAR; real-time data; nowcasting; forecasting;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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