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    UK real-time macro data characteristics

    Garratt, Anthony and Vahey, S.P. (2006) UK real-time macro data characteristics. The Economic Journal 116 (509), F119-F135. ISSN 0013-0133.

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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: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 15 Aug 2013 13:25
    Last Modified: 15 Aug 2013 13:25
    URI: https://eprints.bbk.ac.uk/id/eprint/8018

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