Improving u.S. gdp measurement: A forecast combination perspective

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr

Volumn , Issue , 2013, Pages 1-25

  Aruoba, S Boragan ^a   Diebold, Francis X ^b   Nalewaik, Jeremy ^c   Schorfheide, Frank ^b   Song, Dongho ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84949057947     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/978-1-4614-1653-1_1     Document Type: Chapter

References (33)

1. Aruoba, B. (2008), “Data Revisions are not Well-Behaved”, Journal of Money, Credit and Banking, 40,319-340.
2. Aruoba, S.B. and F.X. Diebold (2010), “Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions”, American Economic Review, 100, 20-24.
3. Aruoba, S.B., F.X. Diebold, J. Nalewaik, F. Schorfheide, and D. Song (2011), “Improving GDP Measurement: A Measurement Error Perspective”, Manuscript in progress, University of Maryland, University of Pennsylvania and Federal Reserve Board.
4. Barker, T., F. van der Ploeg, and M. Weale (1984), “A Balanced System of National Accounts for the United Kingdom”, Review of Income and Wealth, 461-485.
5. Bates, J.M. and C.W.J. Granger (1969), “The Combination of Forecasts”, Operations Research Quarterly, 20, 451-468.
6. Beaulieu, J. and E.J. Bartelsman (2004), “Integrating Expenditure and Income Data: What To Do With the Statistical Discrepancy?” FEDS Working Paper 2004, 39.
7. Bloom, N., M. Floetotto, and N. Jaimovich (2009), “Really Uncertain Business Cycles”, Manuscript, Stanford University.
8. Byron, R. (1978), “The Estimation of Large Social Accounts Matrices”, Journal of the Royal Statistical Society Series A, 141, Part 3, 359-367.
9. Carter, C.K. and R. Kohn (1994), “On Gibbs Sampling for State Space Models”, Biometrika, 81, 541-553.
10. Diebold, F.X. and J.A. Lopez (1996), “Forecast Evaluation and Combination”, In G.S. Maddala and C.R. Rao (eds.) Handbook of Statistics (Statistical Methods in Finance), North- Holland, 241-268.
11. Faust, J., J.H. Rogers, and J.H. Wright (2005), “News and Noise in G-7 GDP Announcements”, Journal of Money, Credit and Banking, 37, 403-417.
12. Fixler, D.J. and J.J. Nalewaik (2009), “News, Noise, and Estimates of the “True” Unobserved State of the Economy”, Manuscript, Bureau of Labor Statistics and Federal Reserve Board.
13. Hamilton, J.D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, 57, 357-384.
14. Kim, C. J. and C.R. Nelson (1999a), “Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle”, Review of Economics and Statistics, 81, 608-616.
15. Kim, C. J. and C.R. Nelson (1999b), State Space Models with Regime Switching, MIT Press.
16. Kishor, N.K. and E.F. Koenig (2011), “VAR Estimation and Forecasting When Data Are Subject to Revision”, Journal of Business and Economic Statistics, in press.
17. Mankiw, N.G., D.E. Runkle, and M.D. Shapiro (1984), “Are Preliminary Announcements of the Money Stock Rational Forecasts?” Journal of Monetary Economics, 14, 15-27.
18. Mankiw, N.G. and M.D. Shapiro (1986), “News or Noise: An Analysis of GNP Revisions”, Survey of Current Business, May, 20-25.
19. McConnell, M. and G. Perez-Quiros (2000), “Output Fluctuations in the United States: What Has Changed Since the Early 1980s?” American Economic Review, 90, 1464-1476.
20. Nalewaik, J.J. (2010), “The Income- and Expenditure-Side Estimates of U.S. Output Growth”, Brookings Papers on Economic Activity, 1, 71-127 (with discussion).
21. Nalewaik, J.J. (2011), “Estimating Probabilities of Recession in Real Time Using GDP and GDI”, Journal of Money, Credit and Banking, in press.
22. Sancetta, A. (2007), “Online Forecast Combinations of Distributions: Worst Case Bounds”, Journal of Econometrics, 141, 621-651.
23. Schorfheide, F. (2005), “Learning and Monetary Policy Shifts”, Review of Economic Dynamics, 8, 392-419.
24. Solomou, S. and M. Weale (1991), “Balanced Estimates of U.K. GDP 1870-1913”, Explorations in Economic History, 28, 54-63.
25. Solomou, S. and M. Weale (1993), “Balanced Estimates of National Accounts When Measurement Errors Are Autocorrelated: The U.K., 1920-1938”, Journal of the Royal Statistical Society Series A, 156 Part 1, 89-105.
26. Statistisches Bundesamt, Wiesbaden (2009), “National Accounts: Gross Domestic Product in Germany in Accordance with ESA 1995 - Methods and Sources”, Subject Matter Series, 18.
27. Stock, J.H. and M.W. Watson (2002), “Has the Business Cycle Changed and Why?” In M. Gertler and K. Rogoff (eds.), NBER Macroeconomics Annual, Cambridge, Mass.: MIT Press, 159-218.
28. Stone, R., D.G. Champernowne, and J.E. Meade (1942), “The Precision of National Income Estimates”, Review of Economic Studies, 9, 111-125.
29. Timmermann, A. (2006), “Forecast Combinations”, In G. Elliot, C.W.J. Granger and A. Timmer- mann (eds.), Handbook of Economic Forecasting, North-Holland, 136-196.
30. Vovk, V. (1998), “A Game of Prediction with Expert Advice”, Journal of Computer and System Sciences, 56, 153-173.
31. Wald, A. (1950), Statistical Decision Functions, John Wiley, New York.
32. Weale, M. (1985), “Testing Linear Hypotheses on National Accounts Data”, Review of Economics and Statistics, 90, 685-689.
33. Weale, M. (1988), “The Reconciliation of Values, Volumes, and Prices in the National Accounts”, Journal of the Royal Statistical Society Series A, 151 Part 1, 211-221