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Forecasting real-time data allowing for data revisions


  • Kosei Fukuda

    (College of Economics, Nihon University, Tokyo, Japan)


A modeling approach to real-time forecasting that allows for data revisions is shown. In this approach, an observed time series is decomposed into stochastic trend, data revision, and observation noise in real time. It is assumed that the stochastic trend is defined such that its first difference is specified as an AR model, and that the data revision, obtained only for the latest part of the time series, is also specified as an AR model. The proposed method is applicable to the data set with one vintage. Empirical applications to real-time forecasting of quarterly time series of US real GDP and its eight components are shown to illustrate the usefulness of the proposed approach. Copyright © 2007 John Wiley & Sons, Ltd.

Suggested Citation

  • Kosei Fukuda, 2007. "Forecasting real-time data allowing for data revisions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(6), pages 429-444.
  • Handle: RePEc:jof:jforec:v:26:y:2007:i:6:p:429-444 DOI: 10.1002/for.1032

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    References listed on IDEAS

    1. 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, August.
    2. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    4. 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.
    5. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
    6. 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.
    7. Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 193-200, May.
    8. Howrey, E Philip, 1984. "Data Revision, Reconstruction, and Prediction: An Application to Inventory Investment," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 386-393, August.
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    Cited by:

    1. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.

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