Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System
This paper outlines a method for making effective use of monthly indicators to develop a current-quarter GDP forecast. Estimates and projections of real GDP growth are usually used to describe how the economy is doing. But estimates of GDP are only available quarterly, and the first GDP estimate for a quarter is released late in the month following the end of the quarter. The lack of a timely, comprehensive economic picture may mean that policymakers and business planners may be as much as four months behind in recognizing a significant slowdown or acceleration in the economy. This problem is especially important around business cycle peaks or troughs, where there may be some evidence that the economy is changing direction. There are many less-comprehensive, but higher-frequency data series about the economy, however. The chief difficulty with using the multiple indicators is that different indicators can give different signals, and there is no agreed-upon way for aggregating the statistics to give a single-valued answer. In this paper, we describe the approach we have adopted at the Treasury Department to use a broad variety of high-frequency incoming data to construct “realtime” estimates of quarterly real GDP growth. We draw on the recent work by Stock and Watson and others and describe the indicators, the techniques, and the recent performance of the system.
|Date of creation:||Oct 2003|
|Date of revision:||Oct 2003|
|Publication status:||Published in Business Economics 4.38(2003): pp. 10-19|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
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.:
- Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series 90, Board of Governors of the Federal Reserve System (U.S.).
- John C. Robertson & Ellis W. Tallman, 1998. "Data vintages and measuring forecast model performance," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 4-20.
- James H. Stock & Mark W. Watson, 2001.
"Forecasting output and inflation: the role of asset prices,"
Federal Reserve Bank of San Francisco, issue Mar.
- James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
- Evan F. Koenig & Sheila Dolmas & Jeremy 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.).
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003. "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 618-628, August.
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2000. "The use and abuse of "real-time" data in economic forecasting," Working Papers 0004, Federal Reserve Bank of Dallas.
- Evan Koenig & Sheila Dolmas & Jeremy M. Piger, 2002. "The use and abuse of 'real-time' data in economic forecasting," Working Papers 2001-015, Federal Reserve Bank of St. Louis.
- Robert Ingenito & Bharat Trehan, 1996. "Using monthly data to predict quarterly output," Economic Review, Federal Reserve Bank of San Francisco, pages 3-11.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 111-130, November.
- Karen E. Dynan & Douglas Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series 2001-52, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:21068. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.