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UK Real-Time Macro Data Characteristics

Author

Listed:
  • Anthony Garratt

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Shaun P Vahey

Abstract

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.

Suggested Citation

  • Anthony Garratt & Shaun P Vahey, 2005. "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance 0502, Birkbeck, Department of Economics, Mathematics & Statistics.
    • Handle: RePEc:bbk:bbkefp:0502
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    References listed on IDEAS

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    More about this item

    Keywords

    real-time data; structural breaks; probability event forecasts;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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