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UK Real-time Macro Data Characteristics

  • Shaun Vahey
  • Tony Garratt

    ()

    (Research RBNZ)

We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregresion to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 253.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:253
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