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Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions

  • Bouwman, Kees E.
  • Jacobs, Jan P.A.M.

Real-time macroeconomic data are typically incomplete for today and the immediate past (‘ragged edge’) and subject to revision. To enable more timely forecasts the recent missing data have to be imputed. The paper presents a state-space model that can deal with publication lags and data revisions. The framework is applied to the US leading index. We conclude that including even a simple model of data revisions improves the accuracy of the imputations and that the univariate imputation method in levels adopted by The Conference Board can be improved upon.

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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 33 (2011)
Issue (Month): 4 ()
Pages: 784-792

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Handle: RePEc:eee:jmacro:v:33:y:2011:i:4:p:784-792
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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  3. Banbura, Marta & Rünstler, Gerhard, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series 0751, European Central Bank.
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