The use and abuse of "real-time" data in economic forecasting
We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.
|Date of creation:||2000|
|Note:||Published as: Koenig, Evan F., Shelia Dolmas and Jeremy Piger (2003), "The Use and Abuse of "Real-Time" Data in Economic Forecasting," The Review of Economics and Statistics 85 (3): 618-628.|
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