Arbeitspapier
Forecasting with measurement errors in dynamic models
In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations on the most recent events contain the the largest signal about the future. We discuss a variety of forecasting problems in this environment, and present an application using a univariate model of the quarterly growth of UK private consumption expenditure.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 521
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Thema
-
Forecasting, Data revisions, Dynamic models
Prognoseverfahren
Statistische Erhebung
Statistischer Fehler
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Harrison, Richard T.
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Harrison, Richard T.
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2004
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