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- Title
THE USE AND ABUSE OF REAL-TIME DATA IN ECONOMIC FORECASTING.
- Authors
Koenig, Evan F.; Dolmas, Sheila; Piger, Jeremy
- Abstract
Abstract--We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus.
- Subjects
ECONOMIC forecasting; SALES; STATISTICS; RETAIL industry; ECONOMIC indicators; GROSS domestic product
- Publication
Review of Economics & Statistics, 2003, Vol 85, Issue 3, p618
- ISSN
0034-6535
- Publication type
Article
- DOI
10.1162/003465303322369768