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Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models

https://doi.org/10.1002/jae.1121
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-3932(84)90024-2openalex-snapshot
Are preliminary announcements of the money stock rational forecasts?
inferredcites →https://doi.org/10.1016/j.euroecorev.2003.08.005openalex-snapshot
Data uncertainty and the role of money as an information variable for monetary policy
inferredcites →https://doi.org/10.1016/j.ijforecast.2005.03.002openalex-snapshot
Forecasting with measurement errors in dynamic models
inferredcites →https://doi.org/10.1016/j.jmoneco.2008.05.010openalex-snapshot
Nowcasting: The real-time informational content of macroeconomic data
inferredcites →https://doi.org/10.1016/j.najef.2005.05.003openalex-snapshot
How the Bundesbank really conducted monetary policy
inferredcites →https://doi.org/10.1016/j.najef.2005.05.007openalex-snapshot
Real-time data for Norway: Challenges for monetary policy
inferredcites →https://doi.org/10.1016/j.najef.2005.06.003openalex-snapshot
The reliability of Canadian output-gap estimates
inferredcites →https://doi.org/10.1016/s0148-6195(03)00030-4openalex-snapshot
UK inflation in the 1970s and 1980s: the role of output gap mismeasurement
inferredcites →https://doi.org/10.1016/s0165-1765(02)00094-0openalex-snapshot
‘Keep it real!’: a real-time UK macro data set
inferredcites →https://doi.org/10.1016/s0304-3932(03)00023-0openalex-snapshot
On the optimal monetary policy response to noisy indicators
inferredcites →https://doi.org/10.1016/s0304-3932(03)00030-8openalex-snapshot
Indicator Variables for Optimal Policy
inferredcites →https://doi.org/10.1016/s0304-4076(01)00072-0openalex-snapshot
A real-time data set for macroeconomists
inferredcites →https://doi.org/10.1016/s1574-0706(05)01017-7openalex-snapshot
Chapter 17 Forecasting with Real-Time Macroeconomic Data
inferredcites →https://doi.org/10.1017/cbo9781107049994openalex-snapshot
Forecasting, Structural Time Series Models and the Kalman Filter
inferredcites →https://doi.org/10.1017/s1365100504020279openalex-snapshot
SIGNAL EXTRACTION AND NON-CERTAINTY-EQUIVALENCE IN OPTIMAL MONETARY POLICY RULES
inferredcites →https://doi.org/10.1080/07350015.1996.10524662openalex-snapshot
Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure
inferredcites →https://doi.org/10.1086/261603openalex-snapshot
Two Models of Measurements and the Investment Accelerator
inferredcites →https://doi.org/10.1162/003465302760556422openalex-snapshot
The Unreliability of Output-Gap Estimates in Real Time
inferredcites →https://doi.org/10.1198/jbes.2009.08171openalex-snapshot
A State Space Approach to Extracting the Signal From Uncertain Data
inferredcites →https://doi.org/10.1257/aer.91.4.964openalex-snapshot
Monetary Policy Rules Based on Real-Time Data
inferredcites →https://doi.org/10.17016/feds.2005.42openalex-snapshot
Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases
inferredcites →https://doi.org/10.2139/ssrn.2785059openalex-snapshot
Real-Time Estimation of the Output Gap in Japan and its Usefulness for Inflation Forecasting and Policymaking
inferredcites →https://doi.org/10.2139/ssrn.2785070openalex-snapshot
How the Bundesbank Really Conducted Monetary Policy: An Analysis Based on Real-Time Data
inferredcites →https://doi.org/10.2139/ssrn.2785071openalex-snapshot
Real-Time Data for Norway: Challenges for Monetary Policy
inferredcites →https://doi.org/10.2307/1392447openalex-snapshot
Small-Sample Bias in GMM Estimation of Covariance Structures
inferredcites →https://doi.org/10.2307/1924972openalex-snapshot
The Use of Preliminary Data in Econometric Forecasting
inferredcites →https://doi.org/10.3386/t0156openalex-snapshot
Small Sample Bias in GMM Estimation of Covariance Structures

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4866724openalex-extracted
Official Monthly Estimates of U.S. GDP Quarterly Growth Rates: A Cognitive Perspective
inferred← citeshttps://doi.org/10.1007/s10260-014-0262-yopenalex-snapshot
Revisions in official data and forecasting
inferred← citeshttps://doi.org/10.1016/j.jeconom.2010.04.010openalex-snapshot
Modeling data revisions: Measurement error and dynamics of “true” values
inferred← citeshttps://doi.org/10.1016/j.jfs.2026.101509openalex-snapshot
Decoding underprediction and anchoring in BEA's GDP backcasts
inferred← citeshttps://doi.org/10.1093/acrefore/9780190625979.013.447openalex-snapshot
Measurement Error: A Primer for Macroeconomists
inferred← citeshttps://doi.org/10.1108/s1477-4070(2011)0000008016openalex-snapshot
Percentage Forecasting Error: A New Forecasting Performance Measure – How Accurate is it?
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