Real -time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?
نویسنده
چکیده
In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA model and nonlinear SETAR model are considered in this study. Two Canadian macroeconomic time series have been analyzed: the real-time monetary aggregate M3 (1977-2000), and residential mortgage credit (1975-1998). The forecasting method we use is multistep-ahead non-adaptive forecasting.
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تاریخ انتشار 2005