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Methods explained: forecasting
Abstract
Outlines the contexts where foreecasts are required, describes the techniques used and examines some issues faced by ONSThe Office for National Statistics (ONS) often makes use of forecasts in the production of its statistical outputs. The purpose of this article is to outline the contexts where forecasts are required, to describe the techniques used and to examine some of the issues faced by ONS when forecasting. Economic & Labour Market Review (2007) 1, 55–58; doi:10.1057/palgrave.elmr.1410188
... The importance of timely and precise measures of the economy is emphasized in a large literature on real-time data analysis, which shows that data revisions pose a severe challenge to forecasters and policymakers; see, for example, Croushore (2011). Hence, on the side of statistical agencies, most prominently for quarterly national accounts, efforts are made to produce accurate statistics by bringing together a large amount of primary data sources, typically surveys; see Bureau of Economic Analysis (2017), Wood andElliott (2007), andFederal Statistical Office (2008) for GDP calculation in the US, in the UK, and in Germany. ...
... The importance of timely and precise measures of the economy is emphasized in a large literature on real-time data analysis, which shows that data revisions pose a severe challenge to forecasters and policymakers; see, for example, Croushore (2011). Hence, on the side of statistical agencies, most prominently for quarterly national accounts, efforts are made to produce accurate statistics by bringing together a large amount of primary data sources, typically surveys; see Bureau of Economic Analysis (2017), Wood andElliott (2007), andFederal Statistical Office (2008) for GDP calculation in the US, in the UK, and in Germany. ...
We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The methods add to the toolbox of official statisticians, constructing timely regular statistics from different data sources. In this context, we discuss typical measurement features such as survey errors, statistical breaks, different sampling frequencies and irregular observation patterns, and describe their statistical treatment. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in Germany, which enter the statistics on hours worked in the national accounts.
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