| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4419 |
| DP4419 From Thought to Practice: Appropriation and Endogenous Market Structure with Imperfect Intellectual Property Rights | |
| Ronny Razin; Mariagiovanna Baccara | |
| 发表日期 | 2004-06-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper considers forecasting by econometric and time series models using preliminary (or provisional) data. The standard practice is to ignore the distinction between provisional and final data. We call the forecasts that ignore such a distinction naïve forecasts, which are generated as projections from a correctly specified model using the most recent estimates of the unobserved final figures. It is first shown that in dynamic models a multistep-ahead naïve forecast can achieve a lower mean square error than a single-step-ahead one, intuitively because it is less affected by the measurement noise embedded in the preliminary observations. The best forecasts are obtained by combining, in an optimal way, the information provided by the model with the new information contained in the preliminary data. This can be done in the state space framework, as suggested in numerous papers. Here we consider two simple methods to combine, in general sub-optimally, the two sources of information: modifying the forecast initial conditions via standard regressions and using intercept corrections. The issues are explored with reference to the Italian national accounts data and the Bank of Italy Quarterly Econometric Model. A series of simulation experiments with the model show that these methods are quite effective in reducing the extra volatility of prediction due to the use of preliminary data. |
| 主题 | International Macroeconomics |
| 关键词 | Preliminary data Macroeconomic forecasting Bank of italy quarterly economic model |
| URL | https://cepr.org/publications/dp4419 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533372 |
| 推荐引用方式 GB/T 7714 | Ronny Razin,Mariagiovanna Baccara. DP4419 From Thought to Practice: Appropriation and Endogenous Market Structure with Imperfect Intellectual Property Rights. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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