This paper deals with the topic of revisions in macroeconomic Italian data with the aim of investigating whether consecutive vintages published by the National Statistical Institute contain useful information for economic analysis and forecasting. The rationality of the revisions process is tested considering the complete history of data and an application to show the usefulness of revisions for improving the precision of forecasts is proposed. The results on Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term.
Revisions in official data and forecasting / Raponi, Valentina; C., Frale. - In: STATISTICAL METHODS & APPLICATIONS. - ISSN 1618-2510. - STAMPA. - (2014). [10.1007/s10260-014-0262-y]
Revisions in official data and forecasting
RAPONI, VALENTINA;
2014
Abstract
This paper deals with the topic of revisions in macroeconomic Italian data with the aim of investigating whether consecutive vintages published by the National Statistical Institute contain useful information for economic analysis and forecasting. The rationality of the revisions process is tested considering the complete history of data and an application to show the usefulness of revisions for improving the precision of forecasts is proposed. The results on Italian GDP show that embedding the revision process in a dynamic factor model helps to reduce the forecast error in the short term.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
