Working Paper

The use and abuse of \"real-time\" data in economic forecasting

Abstract: We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.

JEL Classification: C13; C82;

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Bibliographic Information

Provider: Federal Reserve Bank of Dallas

Part of Series: Working Papers

Publication Date: 2000

Number: 0004

Pages: 48 pages

Note: Published as: Koenig, Evan F., Shelia Dolmas and Jeremy Piger (2003), "The Use and Abuse of "Real-Time" Data in Economic Forecasting," The Review of Economics and Statistics 85 (3): 618-628.