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

33 Pages Posted: 8 Nov 2000

See all articles by Evan F. Koenig

Evan F. Koenig

Federal Reserve Banks - Federal Reserve Bank of Dallas

Sheila Dolmas

Federal Reserve Banks - Federal Reserve Bank of Dallas

Jeremy Piger

University of Oregon - Department of Economics

Date Written: November 2000

Abstract

We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.

Suggested Citation

Koenig, Evan F. and Dolmas, Sheila and Piger, Jeremy M., The Use and Abuse of 'Real-Time' Data in Economic Forecasting (November 2000). Available at SSRN: https://ssrn.com/abstract=249297 or http://dx.doi.org/10.2139/ssrn.249297

Evan F. Koenig

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Sheila Dolmas

Federal Reserve Banks - Federal Reserve Bank of Dallas

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

Jeremy M. Piger (Contact Author)

University of Oregon - Department of Economics ( email )

Eugene, OR 97403
United States

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