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The Use and Abuse of Real-Time Data in Economic Forecasting

  • Evan F. Koenig

    (Federal Reserve Bank of Dallas)

  • Sheila Dolmas
  • Jeremy Piger

    (Federal Reserve Bank of St. Louis)

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.

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Article provided by MIT Press in its journal Review of Economics and Statistics.

Volume (Year): 85 (2003)
Issue (Month): 3 (August)
Pages: 618-628

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Handle: RePEc:tpr:restat:v:85:y:2003:i:3:p:618-628
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