English

Revision Risk in Real-Time Macroeconomic Forecasting

Econometrics 2026-07-07 v1

Abstract

Macroeconomic forecasts refer to outcomes that are first released and then revised. A 90 percent interval for the first GDP release, a six-month value, or a latest-value benchmark is not the same uncertainty statement. We ask how revision risk evolves through the release cycle and what can be reported in real time when later-outcome errors are scarce. We decompose later-outcome MSE into preliminary forecast risk, revision risk, and their covariance. In SPF data, first-release to roughly 180-day revisions account for 8.3 percent of later-outcome MSE across real-activity targets, versus 3.6 percent across inflation targets. We show that later-outcome uncertainty is partially identified: released histories give early-error and revision marginals, but not their dependence. This yields a sharp Frechet-Makarov set and motivates direct late calibration, dependence-robust transport, and signed or revision-model transport. Out-of-sample results support method choice rather than a universal transport rule: coverage and stability determine when transport gains are usable.

Cite

@article{arxiv.2607.05882,
  title  = {Revision Risk in Real-Time Macroeconomic Forecasting},
  author = {Yizhou and Kuang},
  journal= {arXiv preprint arXiv:2607.05882},
  year   = {2026}
}
R2 v1 2026-07-22T20:28:32.123Z