Revisions in official data and forecasting

被引：1
|
作者：
Raponi, Valentina [1 ]
Frale, Cecilia [2 ]
机构：
[1] Univ Roma La Sapienza, Dipartimento Sci Stat, I-00185 Rome, Italy
[2] Minist Econ & Finance Italy MEF, Italian Dept Treasury, I-00187 Rome, Italy
来源：
STATISTICAL METHODS AND APPLICATIONS | 2014年 / 23卷 / 03期
关键词：
Data revisions; Real-time dataset; Mixed frequency; Dynamic factor model; REAL-TIME DATA; RATIONALITY;
D O I：
10.1007/s10260-014-0262-y
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper deals with the topic of revisions in macroeconomic Italian data with the aim of investigating whether consecutive vintages published by the National Statistical Institute contain useful information for economic analysis and forecasting. The rationality of the revisions process is tested considering the complete history of data and an application to show the usefulness of revisions for improving the precision of forecasts is proposed. The results on Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term.
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页码：451 / 472
页数：22
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