literature on real-time data analysisdcrousho/docs/realtime_lit.pdf · 2 data revisions ahmad,...
TRANSCRIPT
LITERATURE ON REAL-TIME DATA ANALYSIS
Compiled by Dean Croushore, University of Richmond
Send corrections and additions to [email protected]
Updated March 5, 2012
For a review of the state of the literature as of December 2009, see:
Croushore, Dean. “Frontiers of Real-Time Data Analysis.” Journal of Economic
Literature 49 (March 2011), pp. 72-100.
Contents
Section Page
1. Data Revisions 2
2. Structural Modeling 10
3. Forecasting 12
4. Monetary and Fiscal Policy 21
5. Current Analysis 27
6. Data Background 29
2
Data Revisions
Ahmad, Nadim, Bournot, Sophie and Koechlin, Francette. "Revisions to Quarterly GDP
Estimates: A Comparative Analysis for Seven Large OECD Countries." 2007.
http://www.oecd.org/dataoecd/20/26/34350524.pdf.
Anderson, Richard G.. "Replicability, Real-Time Data, and the Science of Economic
Research: FRED, ALFRED, and VDC." Federal Reserve Bank of St. Louis Review 88
(2006): 81–93.
Anderson, Richard G. and Kliesen, Kevin L.. "The 1990s Acceleration in Labor
Productivity: Causes and Measurement." Federal Reserve Bank of St. Louis Review 88,
no. 3 (2006): 181-202.
de Antonio Liedo, David and Carstensen, Kai. "A Model for Real-Time Data Assessment
and Forecasting." 2005. http://www.cirano.qc.ca/fin/Real-timeData/Carstensen.pdf.
Aruoba, S. Boragan. "Data Revisions Are Not Well Behaved." Journal of Money, Credit,
and Banking 40 (2008): 319–340.
Ashley, James, Driver, Ronnie, Hayes, Simon and Jeffery, Christopher. "Dealing with
Data Uncertainty." Bank of England Quarterly Bulletin (2005): 23-29.
Barro, Robert J. and Hercowitz, Zvi. "Money Stock Revisions and Unanticipated Money
Growth." Journal of Monetary Economics 6 (1980): 257-267.
Baumeister, Christiane and Kilian, Lutz. "Real-Time Forecasts of the Real Price of Oil."
2011.
Brodsky, Noel and Newbold, Paul. "Late Forecasts and Early Revisions of United States
GNP." International Journal of Forecasting 10 (1994): 455-460.
Castle, Jennifer and Ellis, Colin. "Building a Real-Time Database for GDP(E)." Bank of
England Quarterly Bulletin (2002): 42-49.
Conrad, William and Corrado, Carol. "Application of the Kalman Filter to Revisions in
Monthly Retail Sales Estimates." Journal of Economic Dynamics and Control 1 (1979):
177-98.
Corradi, Valentina, Fernandez, Andres and Swanson, Norman R.. "Information in the
Revision Process of Real-Time Datasets." Journal of Business and Economic Statistics
27 (2009): 455-467.
Croushore, Dean. "Frontiers of Real-Time Data Analysis." Journal of Economic
Literature 49, no. 1 (2011): 72-100.
3
Croushore, Dean and Stark, Tom. "A Real-Time Data Set for Macroeconomists." Journal
of Econometrics 105 (2001): 111-130.
Croushore, Dean and Stark, Tom. "A Funny Thing Happened on the Way to the Data
Bank: A Real-Time Data Set for Macroeconomists." Federal Reserve Bank of
Philadelphia Business Review (2000): 15-27.
Cunningham, Alastair, Eklund, Jana, Jeffery, Christopher, Kapetanios, George and
Labhard, Vincent. "A State Space Approach to Extracting the Signal from Uncertain
Data." Journal of Business and Economic Statistics (forthcoming): .
DeJong, Piet. "Rational Economic Data Revisions." Journal of Business and Economic
Statistics 5 (1987): 539-548.
Dewald, William G., Thursby, Jerry G. and Anderson, Richard G.. "Replication in
Empirical Economics: The Journal of Money, Credit and Banking Project." American
Economic Review 76 (1986): 587-603.
Diebold, Francis X. and Rudebusch, Glenn D.. "Stochastic Properties of Revisions in the
Index of Indicators." Paper presented at the meeting of the Proceedings of the American
Statistical Association, Washington, DC, 1988.
Dynan, Karen E. and Elmendorf, Douglas. "Do Provisional Estimates of Output Miss
Economic Turning Points?." 2001.
http://www.federalreserve.gov/pubs/feds/2001/200152/200152abs.html.
Egginton, Don M., Pick, Andreas and Vahey, Shaun P.. "'Keep It Real!‟: A Real-time UK
Macro Data Set." Economics Letters 77 (2002): 15-20.
Eitrheim, Øyvind and Jore, Anne Sofie. "Revisions of Labour Productivity and Their
Effects on Wage Inflation Forecasts." 2006. http://www.cirano.qc.ca/fin/Real-
timeData/2006/Eitrheim.pdf.
Faust, Jon, Rogers, John H. and Wright, Jonathan H.. "News and Noise in G-7 GDP
Announcements.." Journal of Money, Credit, and Banking 37 (2005): 403–419.
Fernandez, Adriana Z., Koenig, Evan F. and Nikolsko-Rzhevskyy, Alex. "A Real-Time
Historical Database for the OECD." 2011.
Fixler, Dennis J. and Nalewaik, Jeremy J.. "News, Noise, and Estimates of the „True‟
Unobserved State of the Economy." 2006.
http://www.bea.gov/papers/pdf/fixler_nalewaikrev.pdf.
Galbraith, John W. and Tkacz, Greg. "Electronic Transactions as High-Frequency
Indicators of Economic Activity." 2007.
http://www.bankofcanada.ca/en/res/wp/2007/wp07-58.pdf.
4
Gallo, Giampiero M. and Marcellino, Massimiliano. "In Plato‟s Cave: Sharpening the
Shadows of Monetary Announcements." 1996.
Garratt, Anthony, Koop, Gary and Vahey, Shaun P.. "Forecasting Substantial Data
Revisions in the Presence of Model Uncertainty." 2006.
http://www.ems.bbk.ac.uk/research/wp/PDF/BWPEF0617.pdf.
Garratt, Anthony and Vahey, Shaun P.. "UK Real-Time Macro Data Characteristics."
Economic Journal 116 (2006): F119-F135.
Gartaganis, Arthur J. and Goldberger, Arthur S.. "A Note on the Statistical Discrepancy
in the National Accounts." Econometrica 23 (1955): 166-173.
Ghosh, Sucharita and Lien, Donald. "Data Revision and Market Response: The Case of
United States Trade Balance Announcements." Oxford Bulletin of Economics and
Statistics 57, no. 2 (1995): .
Giannone, Domenico, Henry, Jérôme, Lalik, Magdalena and Modugno, Michele. "An
Area Wide Real Time Data Base for the Euro Area." 2008.
Gleiser, H. and Schavey, P.. "An Analysis of Revisions of National Accounts Data for 40
Countries." Review of Income and Wealth 20, no. 3 (1974): 317-32.
Guerrero, Victor M.. "Combining Historical and Preliminary Information to Obtain
Timely Time Series Data." International Journal of Forecasting (1993): 477–485.
Haltom, Nicholas L., Mitchell, Vanessa D. and Tallman, Ellis W.. "Payroll Employment
Data: Measuring the Effects of Annual Benchmark Revisions." Federal Reserve Bank of
Atlanta Economic Review (2005): 1-23.
Harvey, A.C., McKenzie, C.R., Blake, D.P.C. and Desai, M.J.. "Irregular Data
Revisions." U.S. Department of Commerce, Economic Research Report ER-5 (1983):
329–347.
Hecq, Alain and Mazzi, Gian Luigi. "Advanced Revision Analysis for Economic Time
Series and Their Role for Improving Forecast Accuracy." 2008.
Himmelberg, Charles P., Mahoney, James M., Bang, April and Chernoff, Brian. "Recent
Revisions to Corporate Profits: What We Know and When We Know It." Federal
Reserve Bank of New York Current Issues in Economics and Finance 10 (2004): .
Hogrefe, Jens. "Forecasting data revisions of GDP: a mixed frequency approach."
Advances in Statistical Analysis 92, no. 3 (2008): 271-296.
Holden, K. and Peel, D.A.. "Data Revisions and Time Series Models of GDP and Its
5
Components." Applied Economics 14 (1982): 101-110.
Holden, K. and Peel, D.A.. "The Relationships Between Preliminary and Revised
Estimates of GDP and Consumers‟ Expenditure in the UK." The Statistician 31 (1982):
259–266.
Jacobs, Jan and Sturm, Jan-Egbert. "A Real-Time Analysis of the Swiss Trade Account."
2006. http://repec.org/mmf2006/up.10144.1159525837.pdf.
Jacobs, Jan P.A.M. and van Norden, Simon. "Modeling Data Revisions: Measurement
Error and Dynamics of „True‟ Values." 2010. http://neumann.hec.ca/pages/simon.van-
norden/wps/CCSO%20WP%202006-07.pdf.
Jacobs, Jan and Sturm, Jan-Egbert. "Do Ifo Indicators Help Explain Revisions in German
Industrial Production?." Ifo Survey Data in Business Cycle and Monetary Policy Analysis
(2004): .
Kapetanios, George and Yates, Tony. "Estimates of Measurement Error in United
Kingdom GDP and its Expenditure Components." 2004.
Kavajecz, Kenneth. "The Evolution of the Federal Reserve‟s Monetary Aggregates: A
Timeline." Federal Reserve Bank of St. Louis Review (1994): 32-66.
Kavajecz, Kenneth and Collins, Sean. "Rationality of Preliminary Money Stock
Estimates." Review of Economics and Statistics 77 (1995): 32–41.
Kawagoe, Masaaki. "How Is Economic Growth Rate Revised Afterwards? Real-time
Data Analysis of Real GDP Growth Rate." Quarterly Journal of National Accounts of
Japan, no. 134 (2007): .
Kennedy, James E.. "An Analysis of Revisions to the Industrial Production Index." 1990.
Kilian, Lutz. "Real-Time Forecasts of the Real Price of Oil." 2011.
Kishor, N. Kundan. "Revisions to WPI Inflation in India: News or Noise?." 2009.
Knetsch, Thomas A. and Reimers, Hans-Eggert. "How to Treat Benchmark Revisions?
The Case of German Production and Orders Statistics." 2008.
Krikelas, Andrew C.. "Revisions to Payroll Employment Data: Are They Predictable?."
Federal Reserve Bank of Atlanta Economic Review (1994): 17-29.
de Leeuw, Frank. "The Reliability of U.S. Gross National Product." Journal of Business
and Economic Statistics 8 (1990): 191-203.
Lupi, Claudio and Peracchi, Franco. "The limits of statistical information: How important
6
are GDP revisions in Italy?." 2003.
Mankiw, N. Gregory, Runkle, David E. and Shapiro, Matthew D.. "Are Preliminary
Announcements of the Money Stock Rational Forecasts?." Journal of Monetary
Economics 14 (1984): 15-27.
Mankiw, N. Gregory and Shapiro, Matthew D.. "News or Noise: An Analysis of GNP
Revisions." Survey of Current Business (1986): 20-5.
McKenzie, Richard. "Relative Size and Predictability of Revisions to GDP, Industrial
Production and Retail Trade – A Comparative Analysis Across OECD Member
Countries." 2007.
McNees, Stephen K.. "Forecasts and Actuals: The Trade-Off Between Timeliness and
Accuracy." International Journal of Forecasting 5 (1989): 409-416.
McNees, Stephen K.. "Estimating GNP: The Trade-Off Between Timeliness and
Accuracy." New England Economic Review (1986): 3-10.
Morgenstern, Oskar. On the Accuracy of Economic Observations. Princeton: Princeton
University Press, 1963.
Mork, Knut A.. "Forecastable Money-Growth Revisions: A Closer Look at the Data."
Canadian Journal of Economics 23 (1990): 593-616.
Mork, Knut A.. "Ain‟t Behavin‟: Forecast Errors and Measurement Errors in Early GNP
Estimates." Journal of Business and Economic Statistics 5 (1987): 165-75.
Neumark, David and Wascher, William L.. "Can We Improve Upon Preliminary
Estimates of Payroll Employment Growth?." Journal of Business and Economic Statistics
9 (1991): 197–205.
Oller, Lars-Erik and Teterukovsky, Alex. "Quantifying the Quality of Macroeconomic
Variables." International Journal of Forecasting 23 (2007): 205-217.
Palis, Rebeca de la Rocque, Ramos, Roberto Luis Olinto and Robitaille, Patrice. "News
or Noise? An Analysis of Brazilian GDP Announcements." Federal Reserve Board of
Governors, International Finance Discussion Papers, no. 776 (2004): .
Patterson, K.D.. "Which Vintage of Data to Use When There Are Multiple Vintages of
Data? Cointegration, Weak Exogeneity, and Common Factors." Economics Letters 69
(2000): 115–121.
Patterson, K.D.. "An Integrated Model of Data Measurement and Data Generation
Processes with an Application to Consumers‟ Expenditure." Economic Journal 105
(1995): 54–76.
7
Patterson, K.D.. "Forecasting the Final Vintage of Real Personal Disposable Income: A
State Space Approach." International Journal of Forecasting 11 (1995): 395–405.
Patterson, K.D.. "Revisions to the Components of the Trade Balance for the United
Kingdom." Oxford Bulletin of Economics and Statistics 54 (1992): 103–120.
Patterson, Kerry, Hassani, Hossein, Heravi, Saeed and Zhigljavsky., Anatoly.
"Forecasting the Final Vintage of the Index of Industrial Production." 2009.
Patterson, K.D. and Heravi, S.M.. "Data Revisions and the Expenditure Components of
GDP." Economic Journal 101 (1991): 887-901.
Patterson, K.D. and Heravi, S.M.. "Are Different Vintages of Data on the Components of
GDP Co-Integrated?." Economics Letters 35 (1991): 409–413.
Patterson, K.D. and Heravi, S.M.. "Direct Estimation of Entropy and Revisions to the
National Income Accounts." Statistician 40, no. 1 (1991): 35-50.
Patterson, K. D.. "The Data Measurement Process for UK GNP: Stochastic Trends, Long
Memory, and Unit Roots." Journal of Forecasting 21 (2002): 245–264.
Patterson, K. D.. "Modelling the Data Measurement Process for the Index of Production."
Journal of the Royal Statistical Society 165, no. Series A (2002): 279–296.
Patterson, K. D.. "A State Space Approach to Forecasting the Final Vintage of Revised
Data with an Application to the Index of Industrial Production." Journal of Forecasting
14 (1995): 337–350.
Patterson, K. D.. "A State Space Model for Reducing the Uncertainty Associated with
Preliminary Vintages of Data with an Application to Aggregate Consumption."
Economics Letters 46 (1994): 215–222.
Patterson, K. D. and Heravi, S.M.. "Revisions to Official Data on U.S. GNP: A
Multivariate Assessment of Different Vintages." Journal of Official Statistics 20 (2004):
573–602.
Patterson, K. D. and Heravi, S.M.. "The Information Content and Gain of Revisions to
the Components of GDP." Applied Economics 23 (1991): 903–912.
Patterson, K. D. and Heravi., S.M.. "Rebasing, Common Cycles, and Some Practical
Implications of Modelling Data Revisions." Journal of Official Statistics 20 (2004): 631–
644.
Patterson, K.D. and Heravi, S.M.. "Efficient Forecasts or Measurement Errors? Some
Evidence for Revisions to the United Kingdom Growth Rates." Manchester School of
8
Economic and Social Studies 60 (1992): 249–63.
Pierce, David A.. "Sources of Error in Economic Time Series." Journal of Econometrics
17 (1981): 305-21.
den Reijer, Ard H. J. and Roodenburg, O.. "On the Predictability of GDP Data Revisions
in the Netherlands." Applied Economics Quarterly 52 (2006): 337-356.
Rizki, U.M.. "Testing for Bias in Initial Estimates of the Components of GDP."
Economic Trends (1993): 98–118.
Rizki, U.M.. "Testing for Bias in Initial Estimates of Key Economic Indicators."
Economic Trends 475 (1993): 157–67.
Rodriguez Mora, José V. and Schulstald, Paul. "Believing in Lies: The Effect of GNP
Announcements on Fluctuations of GNP Growth." 1998.
Sargent, Thomas. "Two Models of Measurements and the Investment Accelerator."
Journal of Political Economy 97 (1989): 251-287.
Siklos, Pierre L.. "An Empirical Exploration of Revisions in US National Income
Accounts." Applied Financial Economics 6 (1996): 59–70.
Sleeman, Cath. "Analysis of Revisions to Quarterly GDP - a Real-Time Database."
Reserve Bank of New Zealand Bulletin 69 (2006): 31-44.
Stark, Tom. "Revisions to Nonfarm Payroll Employment: 1964-2011." Federal Reserve
Bank of Philadelphia Research Rap (2011): .
Stekler, H.O.. "The Effect of Data Revisions and Additional Observations on Time Series
Estimates." Applied Economics 19, no. 3 (1987): 347-353.
Stekler, H.O. and Burch, Susan W.. "Selected Economic Data, Accuracy vs. Reporting
Speed." Journal of the American Statistical Association 63, no. 322 (2009): 436-444.
Stekler, L. E. and Stekler, H. O.. "Data revisions in the U.S. international transactions
statistics." Economics Letters 4, no. 1 (1979): 45-49.
Sucharita, Ghosh. "United States Trade Balance Announcements: The Nature of its Data
Revisions." Oxford Bulletin of Economics and Statistics 59, no. 3 (1997): .
Swanson, Norman R. and van Dijk, Dick. "Are Reporting Agencies Getting It Right?
Data Rationality and Business Cycle Asymmetry." Journal of Business & Economic
Statistics 24 (2006): 24-42.
Swanson, Norman R., Ghysels, Eric and Callan, Myles. "A Multivariate Time Series
9
Analysis of the Data Revision Process for Industrial Production and the Composite
Leading Indicator." In Cointegration, Causality, and Forecasting: Festschrift in Honor of
C.W.J. Granger, edited by Robert F. Engle and Halbert White. : Oxford University Press,
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Tallman, Ellis W. and Zadrozny, Peter A.. "Information in Data Revision Processes:
Payroll Employment and Real-Time Measurement of Employment Conditions." 2004.
Tosetta, Elena. "Revisions of Quarterly Output Gap Estimates for 15 OECD Member
Countries." 2008.
Trimbur, Thomas M.. "The Cyclical Dynamics of Output and a Method for Improving
Output Gap Estimates in Real Time." 2010.
Walsh, Carl E.. "Revisions in the „Flash‟ Estimates of GNP Growth: Measurement Error
or Forecast Error?." Federal Reserve Bank of San Francisco Economic Review (1985): 5-
13.
Zarnowitz, Victor. "On Functions, Quality, and Timeliness of Economic Information."
Journal of Business 55 (1982): 87-119.
Zellner, Arnold. "A Statistical Analysis of Provisional Estimates of Gross National
Product and Its Components, of Selected National Income Components, and of Personal
Saving." Journal of the American Statistical Association 53 (1958): 54-65.
10
Structural Modeling
Amato, Jeffery D. and Swanson, Norman R.. "The Real Time Predictive Content of
Money for Output." Journal of Monetary Economics 48 (2001): 3-24.
Aruoba, S. Boragan. "Data Uncertainty in General Equilibrium." 2004.
Bomfim, Antulio. "Measurement Error in General Equilibrium: The Aggregate Effects of
Noisy Economic Indicators." Journal of Monetary Economics 48 (2001): 585–603.
Boschen, John F. and Grossman, Herschel I.. "Tests of Equilibrium Macroeconomics
Using Contemporaneous Monetary Data." Journal of Monetary Economics 10 (1982):
309-333.
Casares, Miguel and Vazquez, Jesus. "Data Revisions in the Estimation of DSGE
Models." 2011. ftp://ftp.econ.unavarra.es/pub/DocumentosTrab/DT1104.PDF.
Clements, Michael P. and Galvão, Ana Beatriz. "First Announcements and Real
Economic Activity." 2009.
Croushore, Dean and Stark, Tom. "A Real-Time Data Set for Macroeconomists: Does the
Data Vintage Matter?." Review of Economics and Statistics 85 (2003): 605-617.
Edge, Rochelle M., Laubach, Thomas and Williams., John C.. "Learning and Shifts in
Long-Run Productivity Growth." Journal of Monetary Economics 54 (2007): 2421-2438.
Golinelli, Roberto and Momigliano, Sandro. "Real-time Determinants of the Fiscal
Policies in the Euro Area." Journal of Policy Modeling 28 (2006): 943-964.
Herbst, Edward and Schorfheide, Frank. "Evaluating VAR and DSGE Model Predictions
of Comovements." 2010. http://www.philadelphiafed.org/research-and-
data/events/2010/data-revision/papers/fe_v2.pdf.
Hughes Hallett, Andrew, Kattai, Rasmus and Lewis, John. "Early Warning or Just Wise
After the Event? The Problem of Using Cyclically Adjusted Budget Deficits for Fiscal
Surveillance." 2007.
von Kalckreuth, Ulf and Wolff, Guntram B.. "Testing for Contemporary Fiscal Policy
Discretion with Real Time Data." 2007.
Lee, Kevin, Olekalns, Nilss and Shields, Kalvinder. "Nowcasting, Business Cycle Dating
and the Interpretation of New Information When Real-Time Data Are Available." 2010.
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revision/papers/Lee%20paper.pdf.
Loukoianova, Elena, Vahey, Shaun P. and Wakerly, Elizabeth C.. "A Real Time Tax
11
Smoothing Based Fiscal Policy Rule." 2002.
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van Norden, Simon. "Are We There Yet? Looking for Evidence of a New Economy."
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Oh, Seonghwan and Waldman, Michael. "The Index of Leading Indicators as a Source of
Expectational Shocks." Eastern Economic Journal 31 (2005): 75-95.
Oh, Seonghwan and Waldman, Michael. "The Macroeconomic Effects of False
Announcements." Quarterly Journal of Economics 105 (1990): 1017–1034.
Paloviita, Maritta. "Comparison of Estimated Dynamics in a Small DSGE Model Under
Rational Expectations and Under Real-Time Expectations." 2007.
Paloviita, Maritta and Mayes, David G.. "The Use of Real Time Information in Phillips
Curve Relationships for the Euro Area." North American Journal of Economics and
Finance 16, no. 3 (2005): 415-34.
Pruitt, Seth. "When Data Revisions Matter to Macroeconomics." 2007.
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Rodríguez Mora, José V. and Schulstad, Paul. "The Effect of GNP Announcements on
Fluctuations of GNP Growth." European Economic Review 51 (2007): 1922-1940.
Sarte, Pierre-Daniel. "When Is Sticky Information More Information? Tracking
Economic Activity Using Diffusion Indices." 2010.
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revision/papers/Sarte%20paper.pdf.
12
Forecasting
Adjemain, Stéphane, Gregoir, Stéphane and Pelgrin, Florian. "Modelling Data Revisions
and Weak Structural Analysis of Forecasts: A Bayesian VAR Perspective." 2006.
Aiolfi, Marco, Capistran, Carlos and Timmermann, Allan. "Forecast Combinations."
2010. http://www.philadelphiafed.org/research-and-data/events/2010/data-
revision/papers/Carlos%20Capistran%20paper.pdf.
Aksoy, Yunus and Akdogan, Kurmas. "Exchange Rates and Fundamentals: Is there a
Role for Nonlinearities in Real Time?." 2005.
Altavilla, Carlo and Ciccarelli, Matteo. "Information Combination and Forecast
(St)ability: Evidence from Vintages of Time-Series Data." 2007.
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Amstad, Marlene and Fischer, Andreas M.. "Are Weekly Inflation Forecasts
Informative?." Oxford Bulletin of Economics and Statistics (2008): .
Amstad, Marlene and Fischer, Andreas M.. "Sequential Information Flow and Real-Time
Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation
Environment." 2004.
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p-0406.pdf.
Atkeson, Andrew and Ohanian, Lee E.. "Are Phillips Curves Useful for Forecasting
Inflation?." Federal Reserve Bank of Minneapolis Quarterly Review 25, no. 1 (2001): 2-
11.
Bentancor, Andrea and Pincheira, Pablo. "Improving Inflation Forecasts from the Survey
of Professional Forecasters in Chile." 2008.
Boero, Gianna, Smith, Jeremy and Wallis, Kenneth F.. "Evaluating a Three-Dimensional
Panel of Point Forecasts: The Bank of England Survey of External Forecasters." 2008.
Bouwman, Kees E. and Jacobs, Jan P.A.M.. "Forecasting with Real-Time
Macroeconomic Data: The Ragged Edge Problem and Revisions." Journal of
Macroeconomics 33, no. 4 (2011): 784-792.
Bulligan, Guido, Gollinelli, Roberto and Parigi., Giuseppe. "Forecasting Monthly
Industrial Production in Real Time: From Single Equations to Factor-Based Models."
2008. www.eco.unibs.it/~trecroci/BuGoPa_IPI_15-1.pdf.
Busetti, Fabio. "Preliminary Data and Econometric Forecasting: An Application with the
Bank of Italy Quarterly Model." Journal of Forecasting 25 1-23.
13
Capistrán, Carlos. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve
Irrational or Just Cautious?." 2005.
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Capistrán, Carlos and Timmermann, Allan. "Forecast Combination with Entry and Exit
of Experts." Journal of Business and Economic Statistics 27 (2009): 428-440.
Capistrán, Carlos and Timmermann, Allan. "Disagreement and Bias in Inflation
Expectations." 2005.
Carlton, Amelie Benear. "Oil Prices and Real-Time Output Growth." 2010.
Clark, Todd E. "Real-Time Density Forecasts from VARs with Stochastic Volatility."
2009. http://www.kansascityfed.org/PUBLICAT/RESWKPAP/PDF/rwp09-08.pdf.
Clark, Todd E. and McCracken, Michael W.. "Averaging Forecasts from VARs with
Uncertain Instabilities." 2006.
Clark, Todd E. and McCracken., Michael W.. "Tests of Equal Predictive Ability with
Real-Time Data." Journal of Business and Economic Statistics 27 (2009): 441-454.
Clements, Michael and Galvao, Ana Beatriz. "Real-time Forecasting of Inflation and
Output Growth with Autoregressive Models in the Presence of Data Revisions." 2011.
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revision/papers/Clements-Galvao%20paper.pdf.
Clements, Michael P.. "Internal Consistency of Survey Respondents‟ Forecasts: Evidence
Based on the Survey of Professional Forecasters." 2007.
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Clements, Michael P. and Galvão, Ana Beatriz. "Real-Time Forecasting of Inflation and
Output Growth in the Presence of Data Revisions." 2010.
Clements, Michael P. and Galvão, Ana Beatriz. "Forecasting U.S. Output Growth Using
Leading Indicators: An Appraisal Using MIDAS Models." Journal of Applied
Econometrics 24 (2009): 1187-1206.
Clements, Michael P. and Galvão, Ana Beatriz. "Macroeconomic Forecasting with Mixed
Frequency Data: Forecasting Output Growth in the United States." Journal of Business
and Economic Statistics 26 (2008): 546-554.
Clements, Michael P. and Harvey, David I.. "Forecast Encompassing Tests and
Probability Forecasts." 2006.
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Cole, Rosanne. "Data Errors and Forecasting Accuracy." In Economic Forecasts and
14
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Crone, Theodore M., Khettry, N. Neil K., Mester, Loretta J. and Novak, Jason A.. "Core
Measures of Inflation as Predictors of Total Inflation." 2008.
Croushore, Dean. "Forecasting with Real-Time Macroeconomic Data." In Handbook of
Economic Forecasting, edited by Graham Elliott, Clive W.J. Granger and Allan
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Croushore, Dean. "An Evaluation of Inflation Forecasts from Surveys using Real-Time
Data." B.E. Journal of Macroeconomics 10, no. 1 (2010): article 10.
Croushore, Dean. "Do Consumer Confidence Indexes Help Forecast Consumer Spending
in Real Time." North American Journal of Economics and Finance 16 (2005): 435-450.
Davies, Antony. "A Framework for Decomposing Shocks and Measuring Volatilities
Derived from Multi-Dimensional Panel Data of Survey Forecasts." International Journal
of Forecasting 22 (2006): 373–393.
Denton, Frank T. and Kuiper, John. "The Effect of Measurement Errors on Parameter
Estimates and Forecasts: A Case Study Based on the Canadian Preliminary National
Accounts." Review of Economics and Statistics 47 (1965): 198-206.
Diebold, Francis X. and Rudebusch, Glenn D.. "Turning Point Prediction with the
Composite Leading Index: An Ex Ante Analysis." In Leading Economic Indicators: New
Approaches and Forecasting Records, edited by K. Lahiri and G.H. Moore, 231-256. :
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29
Data Background
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