Revisions in official data and forecasting

DOI10.1007/S10260-014-0262-YMaRDI QIDQ257675zbMATH OpenOpenAlexFDO

Authors Valentina Raponi, Cecilia Frale

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_it/analisi_progammazione/working_papers/WP_N._3-2012.pdf

zbMATH Keywords

data revisionsdynamic factor modelmixed frequencyreal-time dataset

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Forecasting data revisions of GDP: a mixed frequency approach
• Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
• Data revisions and DSGE models
• Modeling data revisions: measurement error and dynamics of ``true values
• Data revisions and periodic properties of macroeconomic data

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A real-time data set for macroeconomists
• Asymptotic Inference about Predictive Ability
• Modeling data revisions: measurement error and dynamics of ``true values

Cited in

(11)

• Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data
• Data revisions and DSGE models
• The Nordhaus test with many zeros
• Growth forecast revisions over business cycles: evidence from the survey of professional forecasters
• Nowcasting and predicting data revisions using panel survey data
• A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption
• The nowcast revision analysis extended
• A real-time data set for macroeconomists
• Data revisions and periodic properties of macroeconomic data
• Modeling data revisions: measurement error and dynamics of ``true values
• Multivariate singular spectrum analysis for forecasting revisions to real-time data

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