Forecasting with vector autoregressive models of data vintages: US output growth and inflation

B-Tier
Journal: International Journal of Forecasting
Year: 2013
Volume: 29
Issue: 4
Pages: 698-714

Authors (2)

Clements, Michael P. (not in RePEc) Galvão, Ana Beatriz (University of Warwick)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:intfor:v:29:y:2013:i:4:p:698-714
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25