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Real-time squared: A real-time data set for real-time GDP forecasting

  • Golinelli, Roberto
  • Parigi, Giuseppe

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File URL: http://www.sciencedirect.com/science/article/B6V92-4SWXDB6-1/2/156cd82c6c1fd3abfb7b477b028f53db
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 24 (2008)
Issue (Month): 3 ()
Pages: 368-385

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Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:368-385
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
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  6. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  7. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
  8. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
  9. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
  10. M. Hashem Pesaran & Allan Timmermann, 2004. "Real Time Econometrics," CESifo Working Paper Series 1169, CESifo Group Munich.
  11. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 0622, European Central Bank.
  12. Teodosio Perez-Amaral & Giampiero M. Gallo & Halbert L. White, 2004. "A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets," Econometrics Working Papers Archive wp2004_12, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  13. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.
  14. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
  15. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages C32-C61, 03.
  16. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
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  18. Busetti, Fabio, 2004. "Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model," CEPR Discussion Papers 4382, C.E.P.R. Discussion Papers.
  19. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
  20. Swanson, Norman R. & van Dijk, Dick, 2006. "Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 24-42, January.
  21. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
  22. Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
  23. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  24. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  25. Lars-Erik Öller & Karl-Gustav Hansson, 2004. "Revision of National Accounts: Swedish Expenditure Accounts and GDP," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(3), pages 363-385.
  26. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  27. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  28. Bharat Trehan, 1992. "Predicting contemporaneous output," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
  29. Schumacher, Christian & Breitung, Jörg, 2006. "Real-time forecasting of GDP based on a large factor model with monthly and quarterly data," Discussion Paper Series 1: Economic Studies 2006,33, Deutsche Bundesbank, Research Centre.
  30. 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.).
  31. Franck Sédillot & Nigel Pain, 2003. "Indicator Models of Real GDP Growth in Selected OECD Countries," OECD Economics Department Working Papers 364, OECD Publishing.
  32. Julia Campos & David F. Hendry & Hans-Martin Krolzig, 2003. "Consistent Model Selection by an Automatic "Gets" Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 803-819, December.
  33. Lupi, Claudio & Peracchi, Franco, 2003. "The limits of statistical information: How important are GDP revisions in Italy?," Economics & Statistics Discussion Papers esdp03005, University of Molise, Dept. EGSeI.
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  35. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 0276, European Central Bank.
  36. Bharat Trehan, 1989. "Forecasting growth in current quarter real GNP," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 39-52.
  37. Phillips, Peter C.B., 2005. "AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A Colloquium for ET's 20th Anniversary," Econometric Theory, Cambridge University Press, vol. 21(01), pages 1-2, February.
  38. Stark, Tom & Croushore, Dean, 2002. "Reply to the comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 563-567, December.
  39. Jennifer L. Castle, 2005. "Evaluating PcGets and RETINA as Automatic Model Selection Algorithms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 837-880, December.
  40. Tom Stark, 2000. "Does current-quarter information improve quarterly forecasts for the U.S. economy?," Working Papers 00-2, Federal Reserve Bank of Philadelphia.
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