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Improving real-time estimates of output and inflation gaps with multiple-vintage models
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Clements, Michael P. and Galvão, Ana Beatriz (2012) Improving real-time estimates of output and inflation gaps with multiple-vintage models. Journal of Business & Economic Statistics , Volume 30 (Number 4). pp. 554-562. doi:10.1080/07350015.2012.707588 ISSN 0735-0015.
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Official URL: http://dx.doi.org/10.1080/07350015.2012.707588
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.
Item Type: | Journal Article | ||||
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Journal or Publication Title: | Journal of Business & Economic Statistics | ||||
Publisher: | Routledge | ||||
ISSN: | 0735-0015 | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Volume 30 | ||||
Number: | Number 4 | ||||
Page Range: | pp. 554-562 | ||||
DOI: | 10.1080/07350015.2012.707588 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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