Article ID Journal Published Year Pages File Type
7408637 International Journal of Forecasting 2013 17 Pages PDF
Abstract
Vintage-based vector autoregressive models of a single macroeconomic variable are shown to be a useful vehicle for obtaining forecasts of different maturities of future and past observations, including estimates of post-revision values. The forecasting performance of models which include information on annual revisions is superior to that of models which only include the first two data releases. However, the empirical results indicate that a model which reflects the seasonal nature of data releases more closely does not offer much improvement over an unrestricted vintage-based model which includes three rounds of annual revisions.
Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
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