Forecasting Inflation and Output: Comparing Data-Rich Models with Simple Rules (ICPSR 22684)
Version Date: Jun 10, 2008 View help for published
Principal Investigator(s): View help for Principal Investigator(s)
William T. Gavin, Federal Reserve Bank of St. Louis;
Kevin L. Kliesen, Federal Reserve Bank of St. Louis
https://doi.org/10.3886/ICPSR22684.v1
Version V1
Summary View help for Summary
There has been a resurgence of interest in dynamic factor models for use by policy advisors. Dynamic factor methods can be used to incorporate a wide range of economic information when forecasting or measuring economic shocks. This article introduces dynamic factor models that underlie the data-rich methods and also tests whether the data-rich models can help a benchmark autoregressive model forecast alternative measures of inflation and real economic activity at horizons of 3, 12, and 24 months ahead. The authors find that, over the past decade, the data-rich models significantly improve the forecasts for a variety of real output and inflation indicators. For all the series that they examine, the authors find that the data-rich models become more useful when forecasting over longer horizons. The exception is the unemployment rate, where the principal components provide significant forecasting information at all horizons.
Citation View help for Citation
Export Citation:
Funding View help for Funding
Subject Terms View help for Subject Terms
Geographic Coverage View help for Geographic Coverage
Distributor(s) View help for Distributor(s)
Data Collection Notes View help for Data Collection Notes
-
(1) A zipped package contains program files and a Microsoft Excel file, which contains data, tables, and corresponding figures. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.
Original Release Date View help for Original Release Date
2008-06-10
Version History View help for Version History
- Gavin, William T., and Kevin L. Kliesen. Forecasting Inflation and Output: Comparing Data-Rich Models with Simple Rules. ICPSR22684-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2008-06-10. http://doi.org/10.3886/ICPSR22684.v1
Notes
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.