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Do forecasters target first or later releases of national accounts data?

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  • Michael Clements

    (ICMA Centre, Henley Business School, University of Reading)

Abstract

We consider whether there is any evidence that macro forecasters attempt to forecast data-vintages beyond the first estimates. Our approach requires that both the first and subsequent estimates are predictable prior to the first estimate being released using publically available information. There is some weak evidence that consensus forecasts of consumers' expenditure target vintage estimates after the first estimate, and that around a fifth of individual forecasters put some weight on later estimates of the macro variables.

Suggested Citation

  • Michael Clements, 2017. "Do forecasters target first or later releases of national accounts data?," ICMA Centre Discussion Papers in Finance icma-dp2017-03, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2017-03
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    6. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    7. Tim Köhler & Jörg Döpke, 2023. "Will the last be the first? Ranking German macroeconomic forecasters based on different criteria," Empirical Economics, Springer, vol. 64(2), pages 797-832, February.
    8. Feng, Qianqian & Sun, Xiaolei & Hao, Jun & Li, Jianping, 2021. "Predictability dynamics of multifactor-influenced installed capacity: A perspective of country clustering," Energy, Elsevier, vol. 214(C).
    9. Giovannelli, Alessandro & Pericoli, Filippo Maria, 2020. "Are GDP forecasts optimal? Evidence on European countries," International Journal of Forecasting, Elsevier, vol. 36(3), pages 963-973.

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