VAR estimation and forecasting when data are subject to revision
By: N. Kundan Kishor and Evan F. Koenig.
Contributors: Koenig, Evan F.
Series: Research Department working paper ;; 0501; Working paper (Federal Reserve Bank of Dallas. Research Dept. : Online) ;; 0501.
Publisher: Federal Reserve Bank of Dallas
Published: 2005
Place of publication: [Dallas, Tx.]
Language: eng
Format: Electronic resource
Subjects: Economics -- Statistical methods.
Description: "Conventional VAR estimation and forecasting ignores the fact that economic data are often subject to revision many months or years after their initial release. This paper shows how VAR analysis can be modified to account for such revisions. The proposed approach assumes that government statistical releases are efficient with a finite lag. It takes no stand on whether earlier revisions are "noise" or "news." The technique is illustrated using data on employment and the unemployment rate, real GDP and the unemployment rate, and real GDP and the GDP/consumption ratio. In each case, the proposed procedure outperforms conventional VAR analysis and the more-restrictive methods for handling the data-revision problem that are found in the existing literature"--Federal Reserve Bank of Dallas web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 2/15/2005.
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Mode of access: World Wide Web.