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Forecasting with real-time macroeconomic data: The ragged-edge problem and revisions

Bouwman, Kees E.; Jacobs, Jan

Description

Real-time macroeconomic data are typically incomplete for today and the immediate past ('ragged edge') and subject to revision. To enable more timely forecasts the recent missing data have to be imputed. The paper presents a state-space model that can deal with publication lags and data revisions. The framework is applied to the US leading index. We conclude that including even a simple model of data revisions improves the accuracy of the imputations and that the univariate imputation method in...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/57707
Source: Journal of Macroeconomics
DOI: 10.1016/j.jmacro.2011.04.002

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