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International Finance Discussion Papers: The Use and Abuse of Real-Time Data in Economic Forecasting

International Finance Discussion Papers: The Use and Abuse of Real-Time Data in Economic Forecasting

Paperback

General Political Science

Publisher Price: $15.75

ISBN10: 1288731965
ISBN13: 9781288731961
Publisher: Bibliogov
Published: Feb 8 2013
Pages: 36
Weight: 0.18
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
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.

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General Political Science