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.
File(s): File format is application/pdf http://www.dallasfed.org/assets/documents/research/papers/2000/wp0004.pdf
Provider: Federal Reserve Bank of Dallas
Part of Series: Working Papers
Publication Date: 2000
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.