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Revisions in ocial data and forecasting

Author

Listed:
  • Cecilia Frale

    (Italian Department of Treasury)

  • Valentina Raponi

    (University of Rome La Sapienza)

Abstract

This paper deals with the topic of revision of data with the aim of investigating whether consecutive releases of macroeconomic series published by statistical agencies contain useful information for economic analysis and forecasting. The rationality of the re- visions process is tested considering the complete history of data and an empirical application to show the usefulness of revisions for improving the precision of forecast- ing model is proposed. The results for Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error.

Suggested Citation

  • Cecilia Frale & Valentina Raponi, 2011. "Revisions in ocial data and forecasting," Working Papers LuissLab 1194, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    • Handle: RePEc:lui:lleewp:1194
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    References listed on IDEAS

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    More about this item

    Keywords

    Revisions of data. Forecasting. Rationality tests. Mixed frequency models. Dynamic factor Models.;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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