Model-based estimates of future uncertainty are generally based on the in-sample fit of the model, as when Box–Jenkins prediction intervals are calculated. However, this approach will generate biased uncertainty estimates in real time when there are data revisions. A simple remedy is suggested, and used to generate more accurate prediction intervals for 25 macroeconomic variables, in line with the theory. A simulation study based on an empirically estimated model of data revisions for U.S. output growth is used to investigate small-sample properties.
Clements, M. P. (2017). `Assessing macro uncertainty in real-time when data are subject to revision’, Journal of Business and Economic Statistics, 35(3), 420-433.