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

Aristidou, Chrystalleni; Lee, Kevin; Shields, Kalvinder

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.

Citation

Aristidou, C., Lee, K., & Shields, K. (2019). 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, 182(1), 131-163. https://doi.org/10.1111/rssa.12366

• Journal Article Type: Article
• Acceptance Date: Mar 2, 2018
• Online Publication Date: Apr 22, 2018
• Publication Date: Jan 1, 2019
• Deposit Date: Apr 10, 2018
• Publicly Available Date: Apr 23, 2019
• Journal: Journal of the Royal Statistical Society: Series A (Statistics in Society)
• Print ISSN: 0964-1998
• Electronic ISSN: 1467-985X
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 182
• Issue: 1
• Pages: 131-163
• DOI: https://doi.org/10.1111/rssa.12366
• Keywords: Real-time data; Revision; Survey; Forecasting; Model averaging; Output; Recession
• Public URL: https://nottingham-repository.worktribe.com/output/927644
• Publisher URL: https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssa.12366
• 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.
• Contract Date: Apr 10, 2018