Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?
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More about this item
Keywords
Vintage Data; Real-time Data; Model Selection; SETAR Model; ARMA model; Forecasting;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2005-11-09 (Econometric Time Series)
- NEP-FOR-2005-11-09 (Forecasting)
- NEP-MAC-2005-11-09 (Macroeconomics)
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