Ex post and ex ante analysis of provisional data

Ex post and ex ante analysis of provisional data

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Article ID: iaor20012574
Country: United Kingdom
Volume: 18
Issue: 6
Start Page Number: 421
End Page Number: 433
Publication Date: Nov 1999
Journal: International Journal of Forecasting
Authors: ,
Abstract:

In this paper we suggest a framework to assess the degree of reliability of provisional estimates as forecasts of final data, and we re-examine the question of the most appropriate way in which available data should be used for ex ante forecasting in the presence of a data-revision process. Various desirable properties for provisional data are suggested, as well as procedures for testing them, taking into account the possible non-stationarity of economic variables. For illustration, the methodology is applied to assess the quality of the US M1 data production process and to derive a conditional model whose performance in forecasting is then tested against other alternatives based on simple transformations of provisional data or of past final data.

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