Economic forecast quality: information timeliness and data vintage effects

Taylor, Nick James 2014. Economic forecast quality: information timeliness and data vintage effects. Empirical Economics 46 (1) , pp. 145-174. 10.1007/s00181-012-0672-3

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Abstract

This paper investigates the impact of the timeliness of information releases and data vintage variation on economic forecast quality. Specifically, using a set of 63 key US economic series, we provide a concise measure of the forecast accuracy associated with use of economic activity indices with different publication lags. A forecasting model based on an economic activity index that is subject to a short publication lag (viz. the Aruoba-Diebold-Scotti index) is more efficient than competing models. Moreover, if this publication lag advantage is removed (by artificially imposing a publication lag restriction comparable to that of a competing indicator) this efficiency largely disappears. The final part of the analysis employs a novel (simulation-based) method of assessing the impact of data vintage variation on forecast accuracy, and finds that the results are somewhat sensitive to such variation.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Uncontrolled Keywords:	Economic forecasting, Publication lags, Data vintage, C22, C53, E00
Publisher:	Springer
ISSN:	0377-7332
Last Modified:	25 Feb 2019 16:26
URI:	https://orca.cardiff.ac.uk/id/eprint/49934

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