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Handbook of Economic Forecasting part 100

Handbook of Economic Forecasting part 100. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 964 D. Croushore Figure 2. This diagram shows the value of the index ofleading indicators from January 1973 to August 1974 based on the data vintage of September 1974. No recession is in sight. Butthe NBER declaredthat a recession began in November 1973. Source Business Conditions Digest September 1974. 1974. Unfortunately a recession began in November 1973. So even ten months after the recession began the index of leading indicators gave no sign of a slowdown in economic activity. Naturally the failure to predict the recession led the Commerce Department to revise the construction of the index which they did after the fact. The data entering the index were revised over time but more importantly so were the methods used to construct the index. Figure 3 shows the original September 1974 vintage index of leading indicators and the revised index as it stood in December 1989 over the sample period from January 1973 to August 1974. The index of leading indicators looks much better in the later vintage version but in real time it was of no value. Thus the revised index gives a misleading picture of the forecasting ability of the leading indicators. 2. The real-time data set for macroeconomists Until recently every paper in the literature on real-time data analysis was one in which researchers pieced together their own data set to answer the particular question they wanted to address. In the early 1990s while working on a paper using real-time data I decided that it would be efficient to create a single large data set containing realtime data on many different macroeconomic variables. Together with my colleague Tom Ch. 17 Forecasting with Real-Time Macroeconomic Data 965 Figure 3. This diagram shows the value of the index ofleading indicators from January 1973 to August 1974 based on the data vintages of both September 1974 and December 1989. The revised version of the index predicts the recession nicely. But in real time the index gave no warning at all. Source Business