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
Date Written: March 30, 2012
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: Suggested Citation