Arbeitspapier
Improving real-time estimates of output gaps and inflation trends with multiple-vintage models
Real-time estimates of output gaps and inflation trends differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving real-time output gap and inflation trend estimates. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 678
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
- Thema
-
revisions
real-time forecasting
output gap
inflation trend
Prognose
Gesamtwirtschaftliche Produktion
Inflation
Schätztheorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Clements, Michael P.
Galvão, Ana Beatriz
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft.
Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Clements, Michael P.
- Galvão, Ana Beatriz
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2011
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