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Forecasting Substantial Data Revisions in the presence of model uncertainty

Garratt, Anthony and Koop, G. and Vahey, S.P. (2008) Forecasting Substantial Data Revisions in the presence of model uncertainty. The Economic Journal 118 (530), pp. 1128-1144. ISSN 0013-0133.


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A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2 caused considerable press attention, provoked a public enquiry and prompted a number of reforms to UK statistical reporting procedures. In this article, we compute the probability of ‘substantial revisions’ that are greater (in absolute value) than the controversial 2003 revision. The predictive densities are derived from Bayesian model averaging over a wide set of forecasting models including linear, structural break and regime-switching models with and without heteroscedasticity. Ignoring the nonlinearities and model uncertainty yields misleading predictives and obscures recent improvements in the quality of preliminary UK macroeconomic measurements.

Item Type: Article
Additional Information: The definitive version is available at
Keyword(s) / Subject(s): Revisions, structural breaks, regime switching, model uncertainty, Bayesian model averaging, predictive densities
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Administrator
Date Deposited: 18 Nov 2010 12:17
Last Modified: 10 Jul 2013 13:07

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