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UK Real-Time Macro Data Characteristics

  • Anthony Garratt

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Shaun P Vahey

We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregression to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth.

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File URL: http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0502.pdf
File Function: First version, 2005
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Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0502.

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Date of creation: Jan 2005
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Handle: RePEc:bbk:bbkefp:0502
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  18. Michael P. Clements, 2004. "Evaluating the Bank of England Density Forecasts of Inflation," Economic Journal, Royal Economic Society, vol. 114(498), pages 844-866, October.
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