Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55157
Authors: 
Clements, Michael P.
Galvão, Ana Beatriz
Year of Publication: 
2011
Series/Report no.: 
Working Paper // School of Economics and Finance, Queen Mary, University of London 678
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.
Subjects: 
revisions
real-time forecasting
output gap
inflation trend
JEL: 
C53
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.