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 popular approach should generally be avoided. The point is illustrated with a model that uses monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue-Chip consensus.
|Date of creation:||2002|
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|Publication status:||Published in Review of Economics and Statistics, August 2003, 85(3), pp. 618-28|
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