Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models
初步数据误差及其对联立方程模型预测误差的影响
Econometric models, especially when designed for forecasting purposes, tend to use updated economic series, the last figures(s) of which embed first-published or preliminary data errors. This article identifies and assesses the contribution of errors in preliminary data to the forecast error and to the forecast error variance of linear dynamic simultaneous equation models. The effect of preliminary data errors is shown to be pervasive, although not necessarily weighty. The…