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Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth

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  • Ana Beatriz Galvão
  • James Mitchell

Abstract

Historical economic data are often uncertain due to sampling and non-sampling errors. But data uncertainty is rarely communicated quantitatively. An exception are the "fan charts" for historical GDP growth published at the Bank of England. We propose a generic loss function based approach to extract from these ex ante density forecasts a quantitative measure of unforecastable data uncertainty. We find GDP data uncertainty in the UK rose sharply at the onset of the 2008/9 recession; and that data uncertainty is positively correlated with popular estimates of macroeconomic uncertainty.

Suggested Citation

  • Ana Beatriz Galvão & James Mitchell, 2019. "Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
    • Handle: RePEc:nsr:escoed:escoe-dp-2019-08
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    References listed on IDEAS

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    Cited by:

    1. Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022. "Score-based calibration testing for multivariate forecast distributions," Papers 2211.16362, arXiv.org, revised Dec 2023.
    2. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
    3. Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    4. Joshy Easaw & Christian Grimme, 2021. "The Impact of Aggregate Uncertainty on Firm-Level Uncertainty," CESifo Working Paper Series 8934, CESifo.

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    More about this item

    Keywords

    data revisions; fan charts; macroeconomic uncertainty; backcasts; ex ante uncertainty; ex post uncertainty; density forecast calibration; real time data;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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