Evaluating The Use of Realtime Data in Forecasting Output Levels and Recessionary Events in the USA

Abstract

Summary The paper proposes a modelling framework and evaluation procedure to judge the usefulness of realtime data sets incorporating past data vintages and survey expectations in forecasting. The analysis is based on ‘metamodels’ obtained by using model averaging techniques and judged by various statistical and economic criteria, including a novel criterion based on a fair bet. Analysing US output data over 1968, quarter 4–2015, quarter 1, we find that both elements of the realtime data are useful with their contributions varying over time. Revisions data are particularly valuable for point and density forecasts of growth but survey expectations are important in forecasting rare recessionary events.