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Nowcasting and predicting data revisions using panel survey data

  • Troy D. Matheson

    (Reserve Bank of New Zealand, Wellington, New Zealand)

  • James Mitchell

    (National Institute of Economic and Social Research (NIESR), London, UK)

  • Brian Silverstone

    (University of Waikato, Hamilton, New Zealand)

The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly used method to produce an aggregate quantitative indicator from business survey responses-the net balance or diffusion index-has changed little in 40 years. This paper investigates whether an improved real-time signal of official output data changes can be derived from a recently advanced method on the aggregation of survey data from panel responses. We find, in a New Zealand application, that exploiting the panel dimension to qualitative survey data gives a better in-sample signal about official data than traditional methods. Out-of-sample, it is less clear that it matters how survey data are quantified, with simpler and more parsimonious methods hard to improve. It is clear, nevertheless, that survey data, exploited in some form, help to explain revisions to official data. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1127
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 3 ()
Pages: 313-330

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Handle: RePEc:jof:jforec:v:29:y:2010:i:3:p:313-330
DOI: 10.1002/for.1127
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-19, June.
  2. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, December.
  3. Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-38, May.
  4. Ciaran Driver & Giovanni Urga, 2004. "Transforming Qualitative Survey Data: Performance Comparisons for the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 71-89, 02.
  5. McAleer, M. & Smith, J., 1990. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Papers 219, Australian National University - Department of Economics.
  6. Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 44p., March.
  7. Dr Martin Weale & Dr. James Mitchell, 2005. "Forecasting manufacturing output growth using firm-level survey data," NIESR Discussion Papers 251, National Institute of Economic and Social Research.
  8. James Mitchell & Richard J. Smith & Martin R. Weale, 2005. "Forecasting Manufacturing Output Growth Using Firm-Level Survey Data," Manchester School, University of Manchester, vol. 73(4), pages 479-499, 07.
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