CFCM 15/13: Real-Time Data should be used in Forecasting Output Growth and Recessionary Events in the US

Abstract

The paper investigates whether forecast performance is enhanced by real-time datasets incorporating past data vintages and survey expectations. It proposes a modelling framework and evaluation procedure which allows a real-time and a final assessment of the use of the data in forecasting judged by various statistical and economic criteria. Analysing US output data over 1968q4-2015q1, we find both elements of the real-time data are useful with their contributions varying over time. Revisions data are particularly valuable for point and density forecasts of growth but survey expectations are important in forecasting rare recessionary events.

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Authors

Chrystalleni Aristidou, Kevin Lee and Kalvinder Shields  

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