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    UK real-time macro data characteristics

    Garratt, Anthony and Vahey, S.P. (2004) UK real-time macro data characteristics. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We characterise the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real-time forecasting, we use a vector autoregresion to generate real-time one-step-ahead probability event forecasts for 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0502
    Keyword(s) / Subject(s): real-time data, structural breaks, probability event forecasts
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 05 Apr 2019 08:46
    Last Modified: 27 Jul 2019 18:51
    URI: http://eprints.bbk.ac.uk/id/eprint/27050

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