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The use and abuse of \"real-time\" data in economic forecasting

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  • Sheila Dolmas
  • Evan F. Koenig
  • Jeremy M. Piger

Abstract

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.

Suggested Citation

  • Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2000. "The use and abuse of \"real-time\" data in economic forecasting," International Finance Discussion Papers 684, Board of Governors of the Federal Reserve System (U.S.).
  • Handle: RePEc:fip:fedgif:684
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    References listed on IDEAS

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    More about this item

    Keywords

    Forecasting; economic conditions - United States;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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