Benchmark revisions in non-stationary real-time data may adversely affect the results of regular revision analysis and the estimates of long-run economic relationships. Cointegration analysis can reveal the nature of vintage heterogeneity and guide the adjustment of real-time data for benchmark revisions. Affine vintage transformation functions estimated by cointegration regressions are a flexible tool, whereas differencing and rebasing work well only under certain circumstances. Inappropriate vintage transformation may cause observed revision statistics to be affected by nuisance parameters. Using real-time data of German industrial production and orders, the econometric techniques are exemplified and the theoretical claims are examined empirically. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.