Evaluating the use of real-time data in forecasting output levels and recessionary events in the US
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 statist...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/51050/ |
| _version_ | 1848798401610645504 |
|---|---|
| author | Aristidou, Chrystalleni Lee, Kevin Shields, Kalvinder |
| author_facet | Aristidou, Chrystalleni Lee, Kevin Shields, Kalvinder |
| author_sort | Aristidou, Chrystalleni |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T20:19:11Z |
| format | Article |
| id | nottingham-51050 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:19:11Z |
| publishDate | 2018 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-510502019-04-22T04:30:12Z https://eprints.nottingham.ac.uk/51050/ Evaluating the use of real-time data in forecasting output levels and recessionary events in the US Aristidou, Chrystalleni Lee, Kevin Shields, Kalvinder 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. Wiley 2018-04-22 Article PeerReviewed application/pdf en https://eprints.nottingham.ac.uk/51050/1/nowevaluation%202018%201%2023%20Jan%20final%20submission.pdf 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 Real-time data; Revision; Survey; Forecasting; Model averaging; Output; Recession https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssa.12366 doi:10.1111/rssa.12366 doi:10.1111/rssa.12366 |
| spellingShingle | Real-time data; Revision; Survey; Forecasting; Model averaging; Output; Recession Aristidou, Chrystalleni Lee, Kevin Shields, Kalvinder Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title | Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title_full | Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title_fullStr | Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title_full_unstemmed | Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title_short | Evaluating the use of real-time data in forecasting output levels and recessionary events in the US |
| title_sort | evaluating the use of real-time data in forecasting output levels and recessionary events in the us |
| topic | Real-time data; Revision; Survey; Forecasting; Model averaging; Output; Recession |
| url | https://eprints.nottingham.ac.uk/51050/ https://eprints.nottingham.ac.uk/51050/ https://eprints.nottingham.ac.uk/51050/ |