期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2006
卷号：2006
出版社：London University
摘要：A recent revision to the preliminary measurement of GDP(E) growth for 2003Q2
caused considerable press attention, provoked a public enquiry and prompted a
number of reforms to UK statistical reporting procedures. In this paper, we
compute the probability of “substantial revisions” that are greater (in absolute
value) than the controversial 2003 revision. The predictive densities are
derived from Bayesian model averaging over a wide set of forecasting models
including linear, structural break and regime-switching models with and without
heteroskedasticity. Ignoring the nonlinearities and model uncertainty yields
misleading predictives and obscures recent improvements in the quality of
preliminary UK macroeconomic measurements.
