Evaluating the use of real-time data in forecasting output levels and recessionary events in the US

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Aristidou, Chrystalleni, Lee, Kevin and Shields, Kalvinder (2018) Evaluating the use of real-time data in forecasting output levels and recessionary events in the US. Journal of the Royal Statistical Society: Series A (Statistics in Society) . ISSN 1467-985X

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Abstract

The paper proposes a modelling framework and evaluation procedure to judge the usefulness of real-time datasets incorporating past data vintages and survey expectations in forecasting. The analysis is based on `meta models' obtained using model-averaging techniques and judged by various statistical and economic criteria, including a novel criterion based on a fair bet. Analysing US output data over 1968q4-2015q1, we find both elements of the real-time data are useful with their contributions varying over time. Revisions data are particularly valuable for point and density forecasts of growth but survey expectations are important in forecasting rare recessionary events.

Item Type: Article
Additional Information: This is the peer reviewed version of the following article, which has been published in final form at https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssa.12366. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Keywords: Real-time data; Revision; Survey; Forecasting; Model averaging; Output; Recession
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number: https://doi.org/10.1111/rssa.12366
Depositing User: Eprints, Support
Date Deposited: 10 Apr 2018 07:52
Last Modified: 22 Apr 2019 04:30
URI: https://eprints.nottingham.ac.uk/id/eprint/51050

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