D'Elia, Enrico (2012): A case study: the revisions and forecasts of Euro Area quarterly GDP.
Download (347kB) | Preview
In general, rational economic agents trade off the cost of waiting for the statistical agencies disseminate the final results of the relevant surveys before making a decision, on the one hand, and of making use of some model based predictions. Thus, from the viewpoint of agents, predictions and preliminary results from surveys often compete against each other. Comparing the loss attached to predictions, on the one hand, and to possible preliminary estimate from incomplete samples, on the other, provides a broad guidance in deciding if and when statistical agencies should release preliminary and final estimates. In this paper, the case of the dissemination of figures on quarterly GDP in the Euro Area is examined. The main conclusion is that the so called “flash estimates” actually provide valuable information to the users, while intermediate releases, published before three months from the end of the reference quarter can be substituted by model based estimation without any loss of accuracy.
|Item Type:||MPRA Paper|
|Original Title:||A case study: the revisions and forecasts of Euro Area quarterly GDP|
|Keywords:||Accuracy; Data Dissemination; Forecast; Nowcast; Preliminary Estimates; Timeliness|
|Subjects:||C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C44 - Operations Research; Statistical Decision Theory
C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology; Computer Programs > C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
|Depositing User:||Enrico D'Elia|
|Date Deposited:||25. Jul 2012 13:27|
|Last Modified:||12. Feb 2013 18:08|
Croushore, D. and T. Stark (2005), “A Real Time Data Set for Macroeconomists: Does the Data Vintage Matter?”, Review of Economics and Statistics, Vol. 85, pp. 605-17.
D’Elia, E. (2010), “Predictions vs. preliminary sample estimates”, MPRA Paper No. 36070.
Fan, J. (1992), “Design-adaptive nonparametric regression”, Journal of the American Statistical Association, Vol. 87, pp. 998–1004.
Fan, J. and I. Gijbels (1996), Local Polynomial Modelling and Its Applications, Chapman & Hall, London.
Fixler, D. J. and B. T. Grimm (2006), “GDP Estimates: Rationality Tests and Turning Point Performance”, Journal of Productivity Analysis, vol. 25, pp. 213–229.
Frale, C. and V. Raponi (2012), “Revisions in official data and forecasting”, Working Papers of Dipartimento del Tesoro, No. 3.
Giannone, D., J. Henry, M. Lalik and M. Modugno (2010), “An area-wide real-time database for the euro area”, ECB Working Paper, No. 1145.
Mankiw, G. N. and M. D. Shapiro (1986), “News or Noise: An Analysis of GNP Revisions”, Survey of Current Business, Vol. 66, pp. 20–25.
Sims, C. A. (2003), “Implications of Rational Inattention”, Journal of Monetary Economics, Vol. 50, pp. 665–690.