In this paper we suggest a framework to assess the degree of reliability of provisional estimates as forecasts of final data, and we re-examine the question of the most appropriate way in which available data should be used for ex ante forecasting in the presence of a data-revision process. Various desirable properties for provisional data are suggested, as well as procedures for testing them, taking into account the possible nonstationarity of economic variables. For illustration, the methodology is applied to assess the quality of the US M1 data production process and to derive a conditional model whose performance in forecasting is then tested against other alternatives based on simple transformations of provisional data or of past final data. Copyright © 1999 John Wiley & Sons, Ltd.
Ex Post and Ex Ante analysis of provisional data
MARCELLINO, MASSIMILIANO;
1999
Abstract
In this paper we suggest a framework to assess the degree of reliability of provisional estimates as forecasts of final data, and we re-examine the question of the most appropriate way in which available data should be used for ex ante forecasting in the presence of a data-revision process. Various desirable properties for provisional data are suggested, as well as procedures for testing them, taking into account the possible nonstationarity of economic variables. For illustration, the methodology is applied to assess the quality of the US M1 data production process and to derive a conditional model whose performance in forecasting is then tested against other alternatives based on simple transformations of provisional data or of past final data. Copyright © 1999 John Wiley & Sons, Ltd.
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