GDP Estimates: Rationality Tests and Turning Point Performance
AbstractThe reliability of BEA’s estimates, as measured by the magnitude and pattern of revisions, is highly important to economic policy-making and business decisions. We find evidence that the revisions are partially predicable using contemporaneously available information for the current quarterly estimates of GDP. Information about national income is found to significantly supplement the information found in the final current quarterly estimates of GDP in explaining the revisions to the latest-available estimates of GDP. However, there is little evidence of the predictability of revisions in GDI or national income. Finally, both the advance and final current quarterly estimates are found to do a reliable job of measuring GDP and GDI around cyclical peaks, but a less reliable job around cyclical troughs, the declines preceding the troughs are overstated and the upturns after the troughs are understated. Copyright Springer Science+Business Media, LLC 2006
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Bibliographic InfoArticle provided by Springer in its journal Journal of Productivity Analysis.
Volume (Year): 25 (2006)
Issue (Month): 3 (06)
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Web page: http://www.springerlink.com/link.asp?id=100296
Business cycles; Revisions; Turning points; C8; E3;
Find related papers by JEL classification:
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:CitEc Project, subscribe to its RSS feed for this item.
- Dennis J. Fixler & Jeremy Nalewaik, 2010.
"News, Noise, and Estimates of the "True" Unobserved State of the Economy,"
BEA Working Papers
0068, Bureau of Economic Analysis.
- Dennis J. Fixler & Jeremy J. Nalewaik, 2007. "News, noise, and estimates of the "true" unobserved state of the economy," Finance and Economics Discussion Series 2007-34, Board of Governors of the Federal Reserve System (U.S.).
- D'Elia, Enrico, 2012. "A case study: the revisions and forecasts of Euro Area quarterly GDP," MPRA Paper 40264, University Library of Munich, Germany.
- Jens Boysen-Hogrefe & Stefan Neuwirth, 2012. "The Impact of Seasonal and Price Adjustments on the Predictability of German GDP Revisions," Kiel Working Papers 1753, Kiel Institute for the World Economy.
- Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 271-296, August.
- Jeremy J. Nalewaik, 2008. "Lack of signal error (LoSE) and implications for OLS regression: measurement error for macro data," Finance and Economics Discussion Series 2008-15, Board of Governors of the Federal Reserve System (U.S.).
- Ryan Greenaway-McGrevy, 2011. "Is GDP or GDI a better measure of output? A statistical approach," BEA Working Papers 0076, Bureau of Economic Analysis.
- Verónica Cañal-Fernández, 2012. "Accuracy and reliability of Spanish regional accounts (CRE-95)," Empirical Economics, Springer, vol. 43(3), pages 1299-1320, December.
- Jeremy J. Nalewaik, 2010. "The Income- and Expenditure-Side Estimates of U.S. Output Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(1 (Spring), pages 71-127.
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