A state space approach to forecasting the final vintage of revised data with an application to the index of industrial production
✍ Scribed by K. D. Patterson
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 928 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0277-6693
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✦ Synopsis
Abstract
There is considerable interest in the index of industrial production (IIP) as an indicator of the state of the UK's industrial base and, more generally, as a leading economic indicator. However, this index, in common with a number of key macroeconomic time series, is subject to revision as more information becomes available. This raises the problem of forecasting the final vintage of data on IIP. We construct a state space model to solve this problem which incorporates bias adjustments, a model of the measurement error process, and a dynamic model for the final vintage of IIP. Application of the Kalman filter produces an optimal forecast of the final vintage of data.