Nowcasting and predicting data revisions in real time using qualitative panel survey data
The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly-used method to produce an aggregate quantitative indicator from business survey responses - the net balance, or diffusion index - has changed little in 40 years. It focuses on the proportion of survey respondents replying "up", "the same" or "down". This paper investigates whether an improved real-time signal of official output data changes can be derived from a recently advanced method on the aggregation of survey data from panel responses. It also considers the ability of survey data to anticipate revisions to official output data. We find, in a New Zealand application, that exploiting the panel dimension to qualitative survey data gives a better in-sample signal about official data than traditional methods. This is achieved by giving a higher weight to firms whose answers have a close link to official data than to those whose experiences correspond only weakly or not at all. Out-of-sample, it is less clear it matters how survey data are quantified with simpler and more parsimonious methods hard to improve. It is clear, nevertheless, that survey data, exploited in some form, help to explain revisions to official data.
|Date of creation:||Feb 2007|
|Contact details of provider:|| Postal: P.O. Box 2498, Wellington|
Phone: 64 4 471-3767
Fax: 64 4 471-2270
Web page: http://www.rbnz.govt.nz
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Smith, Jeremy & McAleer, Michael, 1995.
"Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 10(2), pages 165-185, April-Jun.
- McAleer, M. & Smith, J., 1990. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Papers 219, Australian National University - Department of Economics.
- Pesaran, M. Hashem & Weale, Martin, 2006. "Survey Expectations," Handbook of Economic Forecasting, Elsevier.
- Pesaran, M.H. & Weale, M., 2005. "Survey Expectations," Cambridge Working Papers in Economics 0536, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Martin Weale, 2005. "Survey Expectations," CESifo Working Paper Series 1599, CESifo Group Munich.
- M. Hashem Pesaran & Martin Weale, 2005. "Survey Expectations," IEPR Working Papers 05.30, Institute of Economic Policy Research (IEPR).
- Dr Martin Weale, 2005. "Survey Expectations," NIESR Discussion Papers 260, National Institute of Economic and Social Research.
- Ciaran Driver & Giovanni Urga, 2004. "Transforming Qualitative Survey Data: Performance Comparisons for the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 71-89, 02.
- Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-44., March.
- Graham Elliott & Allan Timmermann, 2008. "Economic Forecasting," Journal of Economic Literature, American Economic Association, vol. 46(1), pages 3-56, March.
- Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
- Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740, March.
- James Mitchell & Richard J. Smith & Martin R. Weale, 2005. "Forecasting Manufacturing Output Growth Using Firm-Level Survey Data," Manchester School, University of Manchester, vol. 73(4), pages 479-499, 07.
- Dr Martin Weale & Dr. James Mitchell, 2005. "Forecasting manufacturing output growth using firm-level survey data," NIESR Discussion Papers 251, National Institute of Economic and Social Research.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, Diciembre.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
- Michela Nardo, 2003. "The Quantification of Qualitative Survey Data : A Critical Assessment," Journal of Economic Surveys, Wiley Blackwell, vol. 17(5), pages 645-668, December.
- Tom Stark, 2002. "A summary of the conference on real-time data analysis," Business Review, Federal Reserve Bank of Philadelphia, issue Q 1, pages 5-11.
- Ray Barrell, 1999. "Employment Security and European Labour Demand: A Panel Study Across 16 Industries," NIESR Discussion Papers 148, National Institute of Economic and Social Research.
- Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-419, June.
- Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
- Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-138, May. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:nzb:nzbdps:2007/02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Reserve Bank of New Zealand Knowledge Centre)
If references are entirely missing, you can add them using this form.