DOI
10.1016/S1574-0706(05)01017-7
Abstract
Forecasts are only as good as the data behind them. But macroeconomic data are revised, often significantly, as time passes and new source data become available and conceptual changes are made. How is forecasting influenced by the fact that data are revised? To answer this question, we begin with the example of the index of leading economic indicators to illustrate the real-time data issues. Then we look at the data that have been developed for U.S. data revisions, called the “Real-Time Data Set for Macroeconomists” and show their basic features, illustrating the magnitude of the revisions and thus motivating their potential influence on forecasts and on forecasting models. The data set consists of a set of data vintages, where a data vintage refers to a date at which someone observes a time series of data; so the data vintage September 1974 refers to all the macroeconomic time series available to someone in September 1974.
Document Type
Restricted Book Chapter: Campus only access
Publication Date
2006
Publisher Statement
Copyright © 2006, ScienceDirect.
DOI: https://doi.org/10.1016/S1574-0706(05)01017-7
The definitive version is available at: https://www.sciencedirect.com/science/article/pii/S1574070605010177
Recommended Citation
“Forecasting with Real-Time Macroeconomic Data.” In: Graham Elliott, Clive W.J. Granger, and Allan Timmermann, eds., Handbook of Economic Forecasting (Amsterdam: North-Holland, 2006), pp. 961–982.
