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Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55157
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Clements, Michael P. | | en_US |
| dc.contributor.author | | Galvão, Ana Beatriz | | en_US |
| dc.date.accessioned | | 2011-06-21 | | en_US |
| dc.date.accessioned | | 2012-02-09T14:06:20Z | | - |
| dc.date.available | | 2012-02-09T14:06:20Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/55157 | | - |
| dc.description.abstract | | Real-time estimates of output gaps and inflation trends differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving real-time output gap and inflation trend estimates. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Queen Mary, Univ. of London, School of Economics and Finance London | | en_US |
| dc.relation.ispartofseries | | Working Paper // School of Economics and Finance, Queen Mary, University of London 678 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | revisions | | en_US |
| dc.subject.keyword | | real-time forecasting | | en_US |
| dc.subject.keyword | | output gap | | en_US |
| dc.subject.keyword | | inflation trend | | en_US |
| dc.subject.stw | | Prognose | | en_US |
| dc.subject.stw | | Gesamtwirtschaftliche Produktion | | en_US |
| dc.subject.stw | | Inflation | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.title | | Improving real-time estimates of output gaps and inflation trends with multiple-vintage models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 662517938 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
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