VAR Estimation and Forecasting When Data Are Subject to Revision
VAR Estimation and Forecasting When Data Are Subject to Revision
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数据修改时的 VAR 估计和预测
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
E. Koenig
中科院分区：
文献类型：
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作者：
N. Kishor;E. Koenig
我们表明，Howrey的方法生产的经济预测时，数据进行修订，很容易推广到处理的情况下，数据是由一个复杂的统计机构。所提出的方法假设政府的估计是有效的，有一个有限的滞后。它对早期的修订是“新闻”还是减少“噪音”的结果没有立场。我们提出了渐近性能的标量的情况下，并说明了使用几个简单的经济活动模型的技术。在每种情况下，它都优于传统的VAR分析和原始的Howrey方法。它提供的国内生产总值预测与专业预测机构的预测相比具有竞争力。分析的特殊情况和扩展在一系列可在线获得的附录中进行了讨论。
We show that Howrey’s method for producing economic forecasts when data are subject to revision is easily generalized to handle the case where data are produced by a sophisticated statistical agency. The proposed approach assumes that government estimates are efficient with a finite lag. It takes no stand on whether earlier revisions are the result of “news” or of reductions in “noise.” We present asymptotic performance results in the scalar case and illustrate the technique using several simple models of economic activity. In each case, it outperforms both conventional VAR analysis and the original Howrey method. It produces GDP forecasts that are competitive with those of professional forecasters. Special cases and extensions of the analysis are discussed in a series of appendices that are available online.