Estimating time-variation in measurement error from data revisions
Subtitle: an application to forecasting in dynamic models
By: by George Kapetanios and Tony Yates.
Contributors: Yates, Anthony.; Bank of England.
Series: Working paper,; no. 238; Working paper (Bank of England : Online) ;; no.238.
Publisher: Bank of England
Published: 2004
Place of publication: London
Language: eng
Format: Electronic resource
Description: "Over time, economic statistics are refined. This means that newer data are typically less well measured than old data. Time or vintage-variation in measurement error like this influences how forecasts should be made. Measurement error is obviously not directly observable. This paper shows that modelling the behaviour of the statistics agency generates an estimate of this time-variation. This provides an alternative to assuming that the final releases of variables are true. The paper applies the method to UK aggregate expenditure data, and demonstrates the gains in forecasting from exploiting these model-based estimates of measurement error"--Bank of England web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 4/5/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.