Article2010

VAR Estimation and Forecasting When Data Are Subject to Revision

83 citations0/0 files storedJournal of Business and Economic Statistics

No readable copy stored yet — this record is metadata only.

Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical and numerical algorithms

Abstract

We show that Howrey’s method for producing economic forecasts when data are subject to revision is easily generalized to handle the case where data are produced by a sophisticated statistical agency. The proposed approach assumes that government estimates are efficient with a finite lag. It takes no stand on whether earlier revisions are the result of “news” or of reductions in “noise.” We present asymptotic performance results in the scalar case and illustrate the technique using several simple models of economic activity. In each case, it outperforms both conventional VAR analysis and the original Howrey method. It produces GDP forecasts that are competitive with those of professional forecasters. Special cases and extensions of the analysis are discussed in a series of appendices that are available online.

Citations in this library

Stored only when both papers are in the corpus — 83 citations exist upstream.

References

1994Comparing Predictive Accuracy 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 1999Inflation dynamics: A structural econometric analysis 2006Approximately normal tests for equal predictive accuracy in nested models 2006Tests of Conditional Predictive Ability 1996Asymptotic Inference about Predictive Ability 2001Tests of equal forecast accuracy and encompassing for nested models 2005Implications of Dynamic Factor Models for VAR Analysis

Cited by

2014Robust approaches to forecasting 2012REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS 2013Forecasting by factors, by variables, by both or neither?2020The Forecasting Power of the Ifo Business Survey 2011Advances in Forecast Evaluation 2013Improving GDP Measurement: A Measurement-Error Perspective 2008Frontiers of Real-Time Data Analysis

Imported from OpenAlex (CC0) — nothing here is generated.