Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2012
Volume: 30
Issue: 4
Pages: 554-562

Authors (2)

Michael P. Clements (not in RePEc) Ana Beatriz Galvão (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

Real-time estimates of output gaps and inflation gaps 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 estimates of output and inflation gaps in real time. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages. This article has online supplementary materials.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:30:y:2012:i:4:p:554-562
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25