The Use and Abuse of Real-Time Data in Economic Forecasting

E. Koenig; Sheila Dolmas; Jeremy Piger

doi:10.1162/003465303322369768

← Search

The Use and Abuse of Real-Time Data in Economic Forecasting

E. Koenig¹; Sheila Dolmas¹; Jeremy Piger²

¹ Federal Reserve Bank of Dallas · ² Federal Reserve Bank of St. Louis

The Review of Economics and Statistics 2003

We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus.

DOI: 10.1162/003465303322369768
Volume: 85 (3)
Pages: 618-628
Language: en
Export: BibTeX
Sources: openalex crossref