Implications of
Real-Time Data for Forecasting and Modeling Expectations
By Sharon Kozicki
November 2001
RWP 01-12
Research Division
Federal Reserve Bank of Kansas City
Abstract
This note extends the analysis in Stark and Croushore (2001) with an emphasis on the importance of data vintage for survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the choice of latest available or real-time data is critical for variables subject to large level revisions, but almost irrelevant for variables subject to only small revisions. Other forecasting practices were examined, with some surprising results.
Keywords: Forecasting, real-time data, modeling expectations, survey data, data vintage
JEL Codes: C5
Sharon Kozicki is an assistant vice president and economist at the Federal Reserve Bank of Kansas City. This paper was prepared in response to a request by the Journal of Macroeconomics for comments on "Forecasting with a Real-time Data Set for Macroeconomics" by Tom Stark and Dean Croushore. The views expressed herein are those of the author and do not necessarily reflect the views of the Federal Reserve Bank of Kansas City or the Federal Reserve System.
sharon.kozicki@kc.frb.org