Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/84695 
Authors: 
Year of Publication: 
2007
Series/Report no.: 
External MPC Unit Discussion Paper No. 19
Publisher: 
Bank of England, External Monetary Policy Committee Unit, London
Abstract: 
This paper is a case study of the real world monetary policy data uncertainty problem. The initial and the latest release for growth rates of the distribution, hotels and catering sector are combined with official data on household income and two surveys in a state-space model. Though important to the UK economy, the distribution, hotels and catering sector is apparently difficult to measure. One finding is that the initial release data is not important in predicting the latest release. It could be that the statistical office develop the initial release as a building block towards the final release rather than an estimate of it. Indeed, there is multicollinearity between the initial release and the retail sales survey, which would then contain the same early available information. A second finding is that the estimate of the later release is sensitive to the estimate of the average historical growth rate. This means that establishing priors for this parameter and testing for shift structural breaks should be very important.
Subjects: 
Data Uncertainty
Distribution Sector
Kalman Filter
Monetary Policy
JEL: 
E52
L81
Document Type: 
Working Paper

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