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Revisions in official data and forecasting

Author

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  • Valentina Raponi
  • Cecilia Frale

Abstract

This paper deals with the topic of revisions in macroeconomic Italian data with the aim of investigating whether consecutive vintages published by the National Statistical Institute contain useful information for economic analysis and forecasting. The rationality of the revisions process is tested considering the complete history of data and an application to show the usefulness of revisions for improving the precision of forecasts is proposed. The results on Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Valentina Raponi & Cecilia Frale, 2014. "Revisions in official data and forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 451-472, August.
  • Handle: RePEc:spr:stmapp:v:23:y:2014:i:3:p:451-472
    DOI: 10.1007/s10260-014-0262-y
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    More about this item

    Keywords

    Data revisions; Real-time dataset; Mixed frequency ; Dynamic factor model; E32; E37; C53;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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