Arbeitspapier
Estimating time-variation in measurement error from data revisions: An application to forecasting in dynamic models
Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of this time variation and an estimate of the absolute amount of uncertainty in the data. We apply the method to UK aggregate expenditure data, and illustrate the gains in forecasting from exploiting our model estimates of measurement error.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 520
- 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
Prognoseverfahren
Zeitreihenanalyse
Statistische Erhebung
Statistischer Fehler
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
Yates, Anthony
- 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:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Yates, Anthony
- Queen Mary University of London, Department of Economics
Entstanden
- 2004
Ähnliche Objekte (12)
Estimating deterministically time-varying variances in regression models
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting with measurement errors in dynamic models
Revisiting useful approaches to data-rich macroeconomic forecasting
Revisiting useful approaches to data-rich macroeconomic forecasting
Estimating the rank of the spectral density matrix
A review of forecasting techniques for large data sets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Panels with nonstationary multifactor error structures
Panels with nonstationary multifactor error structures
Panels with nonstationary multifactor error structures
Estimating deterministically time-varying variances in regression models
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting with measurement errors in dynamic models
Revisiting useful approaches to data-rich macroeconomic forecasting
Revisiting useful approaches to data-rich macroeconomic forecasting
Estimating the rank of the spectral density matrix
A review of forecasting techniques for large data sets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Panels with nonstationary multifactor error structures
Panels with nonstationary multifactor error structures
Panels with nonstationary multifactor error structures
Estimating deterministically time-varying variances in regression models
Factor analysis using subspace factor models: Some theoretical results and an application to UK inflation forecasting
Forecasting with measurement errors in dynamic models
Revisiting useful approaches to data-rich macroeconomic forecasting
Revisiting useful approaches to data-rich macroeconomic forecasting
Estimating the rank of the spectral density matrix
A review of forecasting techniques for large data sets
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Panels with nonstationary multifactor error structures
Panels with nonstationary multifactor error structures