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Using monthly data to predict quarterly output

  • Robert Ingenito
  • Bharat Trehan

Some time ago, the Commerce Department changed the way it calculates real gross domestic product. In response to that change, this paper presents an update of a simple model that is used to predict the growth rate of current quarter real output based on available monthly data. After searching over a set containing more than 30 different variables, we find that a model that utilized monthly data on consumption and nonfarm payroll employment to predict contemporaneous real GDP does best.

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File URL: http://www.frbsf.org/econrsrch/econrev/96-3/ingenito.pdf
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Article provided by Federal Reserve Bank of San Francisco in its journal Economic Review.

Volume (Year): (1996)
Issue (Month): ()
Pages: 3-11

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Handle: RePEc:fip:fedfer:y:1996:p:3-11:n:3
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  1. Stock, James H & Watson, Mark W, 1996. "Evidence on Structural Instability in Macroeconomic Time Series Relations," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
  2. Brian Motley, 1992. "Index numbers and the measurement of real GDP," Economic Review, Federal Reserve Bank of San Francisco, pages 3-13.
  3. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  4. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  5. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
  6. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
  7. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-63, September.
  8. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  9. Bharat Trehan, 1992. "Predicting contemporaneous output," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
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