The Use and Abuse of Real-Time Data in Economic Forecasting
We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 85 (2003)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://mitpress.mit.edu/journals/|
|Order Information:||Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Evan F. Koenig, 1996. "Capacity utilization as a real-time predictor of manufacturing output," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 16-23.
- John C. Robertson & Ellis W. Tallman, 1998. "Data vintages and measuring forecast model performance," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 4-20.
- Swanson, N.R., 1996.
"Forecasting Using First Available Versus Fully Revised Economic Time Series data,"
4-96-7, Pennsylvania State - Department of Economics.
- Swanson Norman, 1996. "Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-20, April.
- Swanson, N.R. & White, H., 1995.
"A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks,"
04-95-12, Pennsylvania State - Department of Economics.
- Norman R. Swanson & Halbert White, 1997. "A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 540-550, November.
- Norman R. Swanson & Halbert White, 1995. "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Macroeconomics 9503004, EconWPA.
- Dean Croushore & Tom Stark, 1999.
"A real-time data set for macroeconomists,"
99-4, Federal Reserve Bank of Philadelphia.
- David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias in Macroeconomic Forecasts," The Quarterly Journal of Economics, Oxford University Press, vol. 114(1), pages 293-318.
- Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series 90, Board of Governors of the Federal Reserve System (U.S.).
- repec:oup:restud:v:53:y:1986:i:4:p:671-90 is not listed on IDEAS
- 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.
- Lamont, Owen A., 2002.
"Macroeconomic forecasts and microeconomic forecasters,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 48(3), pages 265-280, July.
- Owen Lamont, 1995. "Macroeconomics Forecasts and Microeconomic Forecasters," NBER Working Papers 5284, National Bureau of Economic Research, Inc.
- Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
- David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
- N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
- Stephen K. McNees, 1987. "Consensus forecasts: tyranny of the majority?," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 15-21.
- Bharat Trehan, 1989. "Forecasting growth in current quarter real GNP," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 39-52.
- Braun, Steven N, 1990. "Estimation of Current-Quarter Gross National Product by Pooling Preliminary Labor-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 293-304, July.
- Robert Ingenito & Bharat Trehan, 1996. "Using monthly data to predict quarterly output," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
- Orphanides, Athanasios, 2003.
"The quest for prosperity without inflation,"
Journal of Monetary Economics,
Elsevier, vol. 50(3), pages 633-663, April.
- Terry J. Fitzgerald & Preston J. Miller, 1989. "A simple way to estimate current-quarter GNP," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 27-31.
- Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
- Tilman Ehrbeck & Robert Waldmann, 1996. "Why Are Professional Forecasters Biased? Agency versus Behavioral Explanations," The Quarterly Journal of Economics, Oxford University Press, vol. 111(1), pages 21-40.
- R. Mark Rogers, 1998. "A primer on short-term linkages between key economic data series," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 40-54.
- Preston J. Miller & Daniel M. Chin, 1996. "Using monthly data to improve quarterly model forecasts," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 16-33.
When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:85:y:2003:i:3:p:618-628. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Pollock-Nelson)
If references are entirely missing, you can add them using this form.