Revisions in Official Data and Forecasting

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No.3

36 Pages Posted: 3 Apr 2012 Last revised: 31 Jul 2012

See all articles by Cecilia Frale

Cecilia Frale

Government of the Italian Republic (Italy) - Department of the Treasury

Valentina Raponi

affiliation not provided to SSRN

Date Written: March 30, 2012

Abstract

This paper deals with the topic of revision of data with the aim of investigating whether consecutive releases of macroeconomic series published by statistical agencies contain useful information for economic analysis and forecasting. The rationality of the re-visions process is tested considering the complete history of data and an empirical application to show the usefulness of revisions for improving the precision of forecasting model is proposed. The results for Italian GDP growth show that embedding the revision process in a dynamic factor model helps to reduce the forecast error.

Keywords: Data revisions, real-time dataset, mixed frequency, Dynamic factor Model

JEL Classification: E32, E37, C53

Suggested Citation

Frale, Cecilia and Raponi, Valentina, Revisions in Official Data and Forecasting (March 30, 2012). Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No.3, Available at SSRN: https://ssrn.com/abstract=2033187

Cecilia Frale (Contact Author)

Government of the Italian Republic (Italy) - Department of the Treasury ( email )

Via XX Settembre, 87
Rome, 00197
Italy

Valentina Raponi

affiliation not provided to SSRN ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
38
Abstract Views
459
PlumX Metrics