(Reuters) - Uncertainty around how long the Federal Reserve could keep interest rates elevated weighed on U.S. stock index futures on Thursday, while investors were cautious ahead of crucial data that could help decipher the state of the economy.

Megacaps such as Alphabet, Microsoft and Nvidia slipped between 0.3% and 0.8% in trading before the bell as the yield on Treasury notes hovered above 4.5% for the second day across the board - the highest since the first week of May. [US/]

Rising bond yields typically reflect expectations for higher interest rates, which in turn means costlier financing and smaller profit margins for companies.

At the top of investors' watchlist is the second estimate for first-quarter gross domestic product, expected at 8:30 a.m. ET. According to a Reuters poll, the world's largest economy expanded by 1.3%, slightly less than the previously thought 1.6%.

Also on tap is jobless claims data, expected to show that the number of Americans filing for State unemployment benefits stood at 218,000, from 215,000 recorded the previous week.

The benchmark S&P 500 index is on track for its biggest weekly drop in six, while the blue-chip Dow closed at a four-week low on Wednesday.

Signs of persistent price pressures pushed the majority of market expectations for at least a 25-basis-point rate cut to the last two months of the year, according to the CME Group's FedWatch Tool.

A central bank survey signaled that economic activity continued to expand from early April through mid-May, but firms grew more pessimistic about the future as demand weakened and inflation continued to rise at a modest pace.

April's personal consumption expenditure report - the Fed's preferred inflation gauge, due on Friday - could sway bets on the timing of the central bank's first cut.

Hawkish comments from policymakers have also dampened risk sentiment, and traders will assess remarks from New York Fed President John Williams and Dallas Fed President Lorie Logan later in the day.

At 5:37 a.m. ET, Dow e-minis were down 333 points, or 0.86%, S&P 500 e-minis were down 23.5 points, or 0.44%, and Nasdaq 100 e-minis