Literature on Real-Time Data Analysis

LITERATURE ON REAL-TIME DATA ANALYSIS

Compiled by Dean Croushore, University of Richmond, with research assistance from Kati Simmons

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Updated January 2008

Contents

Section Page

1.Data Revisions 1

2.Forecasting 8

3.Monetary Policy Analysis14

4.Macroeconomic Research19

5.Financial Research 21

6.Data Background22

† Electronic Copy available through JSTOR

‡ Electronic Copy available through Elsevier / Science Direct

Data Revisions

Anderson, Richard G. “Replicability, Real-Time Data, and the Science of Economic Research: FRED, ALFRED, and VDC.” Federal Reserve Bank of St. Louis Review 88.1 (January/February 2006), pp. 81–93. (

Anderson, Richard G., and Kevin L. Kliesen. “The 1990s Acceleration in Labor Productivity: Causes and Measurement.” Federal Reserve Bank of St. Louis Review 88.3 (May/June 2006), pp.181-202. (

Aruoba, S. Boragan. “Data Revisions Are Not Well Behaved.” Manuscript, University of Maryland, December 2004. Forthcoming, Journal of Money, Credit, and Banking, 2007. (http://www.econ.umd.edu/~aruoba/papers/paper9.html)

Ashley, James, Ronnie Driver, Simon Hayes, and Christopher Jeffery. “Dealing with Data Uncertainty.” Bank of England Quarterly Bulletin (Spring 2005), pp. 23–29. (

Barro, Robert J., and Zvi Hercowitz. “Money Stock Revisions and Unanticipated Money Growth,” Journal of Monetary Economics 6 (1980), pp. 257-267.‡

Brodsky, Noel, and Paul Newbold. “Late Forecasts and Early Revisions of United States GDP,” International Journal of Forecasting 10 (1994), pp. 455–460.

Castle, Jennifer, and Colin Ellis. “Building a Real-Time Database for GDP(E).” Bank of England Quarterly Bulletin (Spring 2002), pp. 42–49. (

Conrad, William, and Carol Corrado. “Application of the Kalman Filter to Revisions in Monthly Retail Sales Estimates,” Journal of Economic Dynamics and Control 1 (1979), pp. 177-98.‡

Corradi, Valentina, Andres Fernandez, and Norman R. Swanson. “Information in the Revision Process of Real-Time Datasets.” Working paper, April 2007.

Croushore, Dean, and Tom Stark. “A Funny Thing Happened on the Way to the Data Bank: A Real-Time Data Set for Macroeconomists,” Federal Reserve Bank of Philadelphia Business Review (Sept./Oct. 2000), pp. 15–27. (

Croushore, Dean, and Tom Stark. “A Real-Time Data Set for Macroeconomists,” Journal of Econometrics 105 (November 2001), pp. 111–130.‡

de Antonio Liedo, David, and Kai Carstensen. “A Model for Real-Time Data Assessment and Forecasting.” Manuscript, September 2005.

de Leeuw, Frank. “The Reliability of U.S. Gross National Product,” Journal of Business and Economic Statistics 8 (April 1990), pp. 191–203.†

Diebold, Francis X., and Glenn D. Rudebusch. “Stochastic Properties of Revisions in the Index of Indicators.” 1988. Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp. 712–717. Washington, DC: American Statistical Association.

Dynan, Karen E. and Douglas Elmendorf. “Do Provisional Estimates of Output Miss Economic Turning Points?” Federal Reserve Board, FEDS Working Paper No. 2001-52, November 2001. (http://www.federalreserve.gov/pubs/feds/2001/200152/200152abs.html)

Egginton, Don M., Andreas Pick, and Shaun P. Vahey. “’Keep It Real!’: A Real-time UK Macro Data Set,” Economics Letters 77 (2002), pp. 15–20.‡

Eitrheim, Øyvind, and Anne Sofie Jore. “Revisions of Labour Productivity and Their Effects on Wage Inflation Forecasts.” Working paper, October 2006.

Faust, Jon, John H. Rogers, and Jonathan H. Wright. “News and Noise in G-7 GDP Announcements.” Journal of Money, Credit, and Banking 37 (June 2005), pp. 403–419.

Gallo, Giampiero M., and Massimiliano Marcellino. “In Plato’s Cave: Sharpening the Shadows of Monetary Announcements,” working paper 1996.

Garratt, Anthony, Gary Koop, and and Shaun P. Vahey. “Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.” Manuscript, September 2005. (

Garratt, Anthony, and Shaun P. Vahey. “UK Real-Time Macro Data Characteristics.” Manuscript, November 2004. (

Ghosh Sucharita. “United States Trade Balance Announcements: The Nature of its Data Revisions.” Oxford Bulletin of Economics and Statistics 59.3 (1997). (

Ghosh, Sucharita, and Donald Lien. “Data Revision and Market Response: The Case of United States Trade Balance Announcements.” Oxford Bulletin of Economics and Statistics 57.2 (1995). (

Gleiser, H., and P. Schavey. “An Analysis of Revisions of National Accounts Data for 40 Countries.” Review of Income and Wealth 20.3 (September 1974), pp. 317-32.

Guerrero, Victor M. “Combining Historical and Preliminary Information to Obtain Timely Time Series Data.” International Journal of Forecasting (1993), pp. 477–485.‡

Haltom, Nicholas L., Vanessa D. Mitchell, and Ellis W. Tallman. “Payroll Employment Data: Measuring the Effects of Annual Benchmark Revisions.” Federal Reserve Bank of Atlanta Economic Review (Second Quarter 2005), pp. 1–23. (

Harvey, A.C., C.R. McKenzie, D.P.C. Blake, and M.J. Desai. “Irregular Data Revisions,” in Arnold Zellner, ed., Applied Time Series Analysis of Economic Data. Washington, D.C.: U.S. Department of Commerce, Economic Research Report ER-5, 1983, pp. 329–347.

Himmelberg, Charles P., James M. Mahoney, April Bang, and Brian Chernoff. “Recent Revisions to Corporate Profits: What We Know and When We Know It.” Federal Reserve Bank of New York Current Issues in Economics and Finance 10 (March 2004). (

Holden, K., and D.A. Peel. “The Relationships Between Preliminary and Revised Estimates of GDP and Consumers’ Expenditure in the UK,” The Statistician 31 (June 1982), pp. 259–266.†

Holden, K., and D.A. Peel. “Data Revisions and Time Series Models of GDP and Its Components,” Applied Economics 14 (1982), pp. 101–110. (

Kapetanios, George, and Tony Yates. “Estimates of Measurement Error in United Kingdom GDP and its Expenditure Components.” Bank of England manuscript (2004).

Kavajecz, Kenneth. “The Evolution of the Federal Reserve’s Monetary Aggregates: A Timeline,” Federal Reserve Bank of St. Louis Review (March/April 1994), pp. 32-66. (

Kavajecz, Kenneth, and Sean Collins. “Rationality of Preliminary Money Stock Estimates,” Review of Economics and Statistics 77 (Feb. 1995), pp. 32–41.†

Kennedy, James E. “An Analysis of Revisions to the Industrial Production Index,” working paper, Board of Governors of the Federal Reserve System, Economic Activity Section, #109, 1990.

Krikelas, Andrew C. “Revisions to Payroll Employment Data: Are They Predictable?” Federal Reserve Bank of Atlanta Economic Review (Nov./Dec. 1994), pp. 17–29.

Mankiw, N. Gregory, and Matthew D. Shapiro. “News or Noise: An Analysis of GNP Revisions.” Survey of Current Business (May 1986), pp. 20-5. (

Mankiw, N. Gregory, David E. Runkle, and Matthew D. Shapiro. “Are Preliminary Announcements of the Money Stock Rational Forecasts?” Journal of Monetary Economics 14 (July 1984), pp. 15-27.‡

McNees, Stephen K. “Estimating GNP: The Trade-Off Between Timeliness and Accuracy,” New England Economic Review (Jan./Feb. 1986), pp. 3-10.

McNees, Stephen K. “Forecasts and Actuals: The Trade-Off Between Timeliness and Accuracy,” International Journal of Forecasting 5 (1989), pp. 409-416.‡

Morgenstern, Oskar. On the Accuracy of Economic Observations. Princeton: Princeton University Press, 1963.

Mork, Knut A. “Ain’t Behavin’: Forecast Errors and Measurement Errors in Early GNP Estimates,” Journal of Business and Economic Statistics 5 (April 1987), pp. 165-75.†

Mork, Knut A. “Forecastable Money-Growth Revisions: A Closer Look at the Data,” Canadian Journal of Economics 23 (August 1990), pp. 593-616.†

Neumark, David, and William L. Wascher. “Can We Improve Upon Preliminary Estimates of Payroll Employment Growth?” Journal of Business and Economic Statistics 9 (April 1991), pp. 197–205.†

Öller, Lars-Erik, and Alex Teterukovsky. “Quantifying the Quality of Macroeconomic Variables.” International Journal of Forecasting 23 (2007), pp. 205–217.

Patterson, K.D. “Revisions to the Components of the Trade Balance for the United Kingdom” Oxford Bulletin of Economics and Statistics 54 (1992), pp. 103–120. (

Patterson, K. D. “A State Space Model for Reducing the Uncertainty Associated with Preliminary Vintages of Data with an Application to Aggregate Consumption.” Economics Letters 46 (1994), pp. 215–222.‡

Patterson, K. D. “A State Space Approach to Forecasting the Final Vintage of Revised Data with an Application to the Index of Industrial Production.” Journal of Forecasting 14 (1995), pp. 337–350.

Patterson, K.D. “An Integrated Model of Data Measurement and Data Generation Processes with an Application to Consumers’ Expenditure” Economic Journal 105 (Jan. 1995), pp. 54–76.†

Patterson, K.D. “Which Vintage of Data to Use When There Are Multiple Vintages of Data? Cointegration, Weak Exogeneity, and Common Factors” Economics Letters 69 (2000), pp. 115–121.

Patterson, K. D., “The Data Measurement Process for UK GNP: Stochastic Trends, Long Memory, and Unit Roots.” Journal of Forecasting 21 (2002), pp. 245–264. (

Patterson, K. D. “Modelling the Data Measurement Process for the Index of Production.” Journal of the Royal Statistical Society, Series A, 165 (2002), pp. 279–296. (

Patterson, K.D., and S.M. Heravi. “Data Revisions and the Expenditure Components of GDP,” Economic Journal 101 (July 1991), pp. 887-901.†

Patterson, K.D., and S.M. Heravi. “Direct Estimation of Entropy and Revisions to the National Income Accounts,” Statistician 40.1 (1991), pp. 35–50.†

Patterson, K.D., and S.M. Heravi. “Are Different Vintages of Data on the Components of GDP Co-Integrated?” Economics Letters 35 (1991), pp. 409–413.

Patterson, K. D., and S.M. Heravi. “The Information Content and Gain of Revisions to the Components of GDP.” Applied Economics 23 (1991), pp. 903–912. (

Patterson, K.D., and S.M. Heravi. “Efficient Forecasts or Measurement Errors? Some Evidence for Revisions to the United Kingdom Growth Rates,” Manchester School of Economic and Social Studies 60 (1992), pp. 249–63.

Patterson, K. D., and S.M. Heravi. “Rebasing, Common Cycles, and Some Practical Implications of Modelling Data Revisions.” Journal of Official Statistics 20 (2004), pp. 631–644.

Patterson, K. D. and S.M. Heravi. “Revisions to Official Data on U.S. GNP: A Multivariate Assessment of Different Vintages,” Journal of Official Statistics 20 (2004), pp. 573–602.

Pierce, David A. “Sources of Error in Economic Time Series,” Journal of Econometrics 17 (1981), pp. 305-21.‡

Rizki, U.M. “Testing for Bias in Initial Estimates of the Components of GDP,” Economic Trends (Feb. 1993), pp. 98–118.

Rizki, U.M. “Testing for Bias in Initial Estimates of Key Economic Indicators,” Economic Trends 475 (1993), pp. 157–67.

Rodriguez Mora, José V., and Paul Schulstald. “Believing in Lies: The Effect of GNP Announcements on Fluctuations of GNP Growth,” working paper 1998.

Sargent, Thomas. “Two Models of Measurements and the Investment Accelerator,” Journal of Political Economy 97 (1989), pp. 251-87.†

Siklos, Pierre L. “An Empirical Exploration of Revisions in US National Income Accounts,” Applied Financial Economics 6 (1996), pp. 59–70. (

Stekler, H.O., and Susan W. Burch. “Selected Economic Data, Accuracy vs. Reporting Speed.” Journal of the American Statistical Association 63.322 (June 1968), pp. 436-444.†

Swanson, Norman R., Eric Ghysels, and Myles Callan. “A Multivariate Time Series Analysis of the Data Revision Process for Industrial Production and the Composite Leading Indicator,” in Robert F. Engle and Halbert White, eds., Cointegration, Causality, and Forecasting: Festschrift in Honor of C.W.J. Granger. Oxford: Oxford University Press, 1999.

Swanson, Norman R. and Dick van Dijk. “Are Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry.” Journal of Business and Economic Statistics, 24, 24-42.

Tallman, Ellis W., and Peter A. Zadrozny. “Information in Data Revision Processes: Payroll Employment and Real-Time Measurement of Employment Conditions.” manuscript, October 2004.

Walsh, Carl E. “Revisions in the ‘Flash’ Estimates of GNP Growth: Measurement Error or Forecast Error?” Federal Reserve Bank of San Francisco Economic Review (Fall 1985), pp. 5–13. (

Zarnowitz, Victor. “On Functions, Quality, and Timeliness of Economic Information.” Journal of Business 55 (January 1982), pp. 87–119.†

Zellner, Arnold. “A Statistical Analysis of Provisional Estimates of Gross National Product and Its Components, of Selected National Income Components, and of Personal Saving,” Journal of the American Statistical Association 53 (March 1958), pp. 54-65.†

Forecasting

Adjemain, Stéphane, Stéphane Gregoir, and Florian Pelgrin. “Modelling Data Revisions and Weak Structural Analysis of Forecasts: A Bayesian VAR Perspective.” Working paper, July 2006.

Amstad, Marlene, and Andreas M. Fischer. “Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment.” Centre for Economic Policy Research Discussion Paper No. 4627, September 2004.

Atkeson, Andrew, and Lee E. Ohanian. “Are Phillips Curves Useful for Forecasting Inflation?” Federal Reserve Bank of Minneapolis Quarterly Review 25.1 (Winter 2001), pp. 2-11. (

Bouwman, Kees E., and Jan P.A.M. Jacobs. “Forecasting with Real-Time Macroeconomic Data: The Ragged Edge Problem and Revisions.” Working paper, University of Groningen, July 2005.

Capistrán, Carlos. “Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?” Working paper 2005-05, UCSD, July 2005. (

Capistrán, Carlos, and Allan Timmermann. “Disagreement and Bias in Inflation Expectations” Working paper, Bank of Mexico, December 2005.

Capistrán, Carlos, and Allan Timmermann. “Forecast Combination with Entry and Exit of Experts.” Working paper, Bank of Mexico, April 2007.

Cole, Rosanne, “Data Errors and Forecasting Accuracy,” in Jacob Mincer, ed., Economic Forecasts and Expectations: Analyses of Forecasting Behavior and Performance. New York: National Bureau of Economic Research, 1969, pp. 47-82.

Croushore, Dean. “Do Consumer Confidence Indexes Help Forecast Consumer Spending in Real Time?” North American Journal of Economics and Finance 16 (December 2005), pp. 435–450. (http://oncampus.richmond.edu/~dcrousho/docs/najef_05jan.pdf)

Croushore, Dean. “Forecasting with Real-Time Macroeconomic Data.” In: Graham Elliott, Clive W.J. Granger, and Allan Timmermann, eds., Handbook of Economic Forecasting (Amsterdam: North-Holland, 2006). (http://oncampus.richmond.edu/~dcrousho/docs/hef_croushore.pdf)

Davies, Antony. “A Framework for Decomposing Shocks and Measuring Volatilities Derived from Multi-Dimensional Panel Data of Survey Forecasts,” International Journal of Forecasting 22 (April/June 2006), pp. 373–393.‡

Denton, Frank T., and John Kuiper. “The Effect of Measurement Errors on Parameter Estimates and Forecasts: A Case Study Based on the Canadian Preliminary National Accounts,” Review of Economics and Statistics 47 (May 1965), pp. 198-206.†

Diebold, Francis X., and Glenn D. Rudebusch. “Forecasting Output With the Composite Leading Index: A Real-Time Analysis,” Journal of the American Statistical Association 86 (September 1991), pp. 603-10.†

Diebold, Francis X., and Glenn D. Rudebusch. “Turning Point Prediction with the Composite Leading Index: An Ex Ante Analysis.” 1991. In: K. Lahiri and G.H. Moore, eds., Leading Economic Indicators: New Approaches and Forecasting Records (Cambridge: Cambridge University Press, 1991), pp. 231-256.

Dwyer, Mark, and Keisuke Hirano. “Optimal Forecasting Under Data Revisions,” working paper 2000.

Edge, Rochelle M., Michael T. Kiley, and Jean-Phillipe Laforte. “A Comparison of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model.” Working paper, August 2006.

Elliott, Graham. “Comments on: ‘Forecasting with a Real-Time Data Set for Macroeconomists.’” Journal of Macroeconomics 24 (December 2002), pp. 53339.‡

Evans, Martin D.D. “Where Are We Now? Real-Time Estimates of the Macro Economy.” NBER working paper 11064, January 2005. (

Fackler, J.S. “Comments on: ‘Forecasting with a Real-Time Data Set for Macroeconomists.’” Journal of Macroeconomics 24 (December 2002), pp. 559562.‡

Faust, Jon, and Jonathan H. Wright. “Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset.” Working paper.

Faust, Jon, John H. Rogers, and Jonathan H. Wright. “Exchange Rate Forecasting: the Errors We’ve Really Made.” Journal of International Economics 60 (2003), pp. 35-59.

Filardo, Andrew J. “How Reliable are Recession Prediction Models?” Federal Reserve Bank of Kansas City Economic Review (Second Quarter 1999), pp. 35-55. (

Franses, Philip Hans, and Dick van Dijk. “Evaluating Real-Time Forecasts in Real Time.” Presentation for Federal Reserve Board Philadelphia, April 19-20, 2007.

Galbraith, John W., and Simon van Norden. “The Resolution and Calibration of Probabilistic Economic Forecasts.” working paper, April 2007.

Gallo, Giampiero M., and Massimiliano Marcellino. “Ex Post and Ex Ante Analysis of Provisional Data.” Working paper, Università Bocconi, November 1998. (ftp://ftp.igier.uni-bocconi.it/wp/1998/141.pdf)

Garratt, Anthony, Gary Koop, and Shaun P. Vahey. “Forecasting Substantial Data Revisions in the Presence of Model Uncertainty.” Working paper 0617, Birkbeck University of London, February 2006. (

Garratt, Anthony, Kevin Lee, Emi Mise, and Kalvinder Shields. “Real Time Representations of the Output Gap.” Working paper 0619, Birkbeck University of London, October 2005. (

Ghosh, Sucharita, and Donald Lien. “Forecasting with Preliminary Data.” Journal of Forecasting 16 (1997), pp. 463-473.

Ghosh, Sucharita, and Donald Lien. “Forecasting with Preliminary Data: A Comparison of Two Methods.” Applied Economics 33 (2001) pp. 721-26. (

Giannone, Domenico, Lucrezia Reichlin, and David Small. “Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases.” Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2005-42, 2005, September 2005. (http://www.federalreserve.gov/pubs/feds/2005/200542/200542pap.pdf)

Giordani, Paolo and Paul Söderlind. “Inflation Forecast Uncertainty.” European Economic Review 47 (December 2003), pp. 1037–1059.‡

Golinelli, Roberto, and Giuseppe Parigi. “Short-run Italian GDP Forecasting and Real-Time Data.” Working paper, July 2005.

Guo, Hui. “On the Real-Time Forecasting Ability of the Consumption-Wealth Ratio.” Working paper 2003-007B, Federal Reserve Bank of St. Louis. (

Harrison R., G. Kapetanios, and T. Yates. “Estimating Econometric Equations under Time Varying Measurement Error.” Manuscript 2001.

Harrison, Richard, George Kaptanios, and Tony Yates. “Some Issues and Questions on Inflation Forecasting and Data Uncertainty.” Manuscript 2001.

Harrison, Richard, George Kapetanios, and Tony Yates. “Forecasting with Measurement Errors in Dynamic Models.” International Journal of Forecasting, 21.3 (July 2005), pp.595-607.‡

Howrey, E. Philip. “The Use of Preliminary Data in Econometric Forecasting,” Review of Economics and Statistics 60 (May 1978), pp. 193-200.†

Howrey, E. Philip. “Data Revision, Reconstruction, and Prediction: An Application to Inventory Investment.” Review of Economics and Statistics 66 (August 1984), pp. 386–93.†

Howrey, E. Philip. “Forecasting GNP With Noisy Data: A Case Study.” Journal of Economic and Social Measurement 22 (1996), pp. 181-200.

Inoue, Atsushi, and Barbara Rossi. “Recursive Predictability Test for Real-Time Data.” Journal of Business and Economic Statistics 23 (July 2005), pp. 336–345.

Kapetanios, G., and T. Yates. “Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models.” Manuscript, September 2003.

Kapetanios, G., and T. Yates. “Using a Real-Time Dataset for Refining Preliminary Data and Forecasting.” Manuscript, July 2004.

Keane, Michael P. and David E. Runkle. “Testing the Rationality of Price Forecasts: New Evidence From Panel Data.” American Economic Review 80 (September 1990), pp. 714–735.†

Kishor, N. Kundan, and Evan F. Koenig. “VAR Estimation and Forecasting When Data Are Subject to Revision.” Federal Reserve Bank of Dallas Economic Research Working Paper No. 0501, February 2005. (

Koenig, Evan. “Is the Markup a Useful Real-Time Predictor of Inflation?” Economics Letters 80 (2003), pp. 261–67.‡

Koenig, Evan, Sheila Dolmas, and Jeremy Piger. “The Use and Abuse of ‘Real-Time’ Data in Economic Forecasting,” Review of Economics and Statistics 85 (2003), pp. 618-628.

Kozicki, Sharon. “Comments on: ‘Forecasting with a Real-Time Data Set for Macroeconomists.’” Journal of Macroeconomics 24 (December 2002), pp. 541558.‡

Marcellino, Massimiliano. “A Simple Benchmark for Forecasts of Growth and Inflation.” C.E.P.R. Discussion Papers: 6012, 2006, June 2006.

Mariano, Roberto S., and Hisashi Tanizaki. “Prediction of Final Data with Use of Preliminary and/or Revised Data.” Journal of Forecasting 14 (1995), pp. 351–380.

Nakamura, Leonard I. and Tom Stark. “Benchmark Revisions and the U.S. Personal Saving Rate.” Federal Reserve Bank of Philadelphia working paper 05-6, April 2005 (