Revision-Aware Proper Scoring Rules for Real-Time Macroeconomic Forecasting: Public Replication Package
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This archive provides the public replication package for the study “Revision-Aware Proper Scoring Rules for Real-Time Macroeconomic Forecasting”. The study develops a revision-aware framework for evaluating probabilistic macroeconomic forecasts when official targets are preliminary releases, finite-maturity vintages, or complete official release paths. The package supports the construction of leakage-safe forecast-origin records, release-path records, forecast-distribution records, score records, timing audits, and the tables and figures used in the manuscript and supplementary materials.The empirical applications cover U.S. real GDP release paths, GDP maturity and sample-robustness checks, U.S. industrial production vintages, and quarterly real GDI validation exercises. The methodology implements target-aware forecast evaluation for revised official macroeconomic data, including scalar and release-path scoring, CRPS, RMSE, log-score diagnostics, marginal release scores, joint energy scores, composite release-path scores, score-differential diagnostics, Newey–West sensitivity checks, moving-block bootstrap flip-rate intervals, PIT and prediction-interval calibration diagnostics, …
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