Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models |
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Authors: | Ugo Trivellato Enrico Rettore |
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Institution: | Dipartimento di Scienze Statistiche , Università di Padova , Via San Francesco 33, 35121 Padova, Italy |
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Abstract: | Econometric models, especially when designed for forecasting purposes, tend to use updated economic series, the last figures(s) of which embed first-published or preliminary data errors. This article identifies and assesses the contribution of errors in preliminary data to the forecast error and to the forecast error variance of linear dynamic simultaneous equation models. The effect of preliminary data errors is shown to be pervasive, although not necessarily weighty. The suggested decomposition of the forecast error is applied to a small macroeconometric model of the Italian economy. |
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Keywords: | Economic forecasting Structural econometric models Data revisions Seemingly unrelated regressions |
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