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

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

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.

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2001-015.

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Date of creation: 2002
Date of revision:
Publication status: Published in Review of Economics and Statistics, August 2003, 85(3), pp. 618-28
Handle: RePEc:fip:fedlwp:2001-015
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