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GDP Estimates: Rationality Tests and Turning Point Performance

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  • Dennis Fixler
  • Bruce Grimm

Abstract

The 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

Suggested Citation

  • Dennis Fixler & Bruce Grimm, 2006. "GDP Estimates: Rationality Tests and Turning Point Performance," Journal of Productivity Analysis, Springer, vol. 25(3), pages 213-229, June.
    • Handle: RePEc:kap:jproda:v:25:y:2006:i:3:p:213-229
    DOI: 10.1007/s11123-006-7640-x
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    References listed on IDEAS

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    1. Karen E. Dynan & Douglas W. Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series 2001-52, Board of Governors of the Federal Reserve System (U.S.).
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. A look at the income-side estimates of growth
      by macroblog in Macroblog on 2010-03-13 03:50:26

    Citations

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    Cited by:

    1. Ryan Greenaway-McGrevy, 2011. "Is GDP or GDI a better measure of output? A statistical approach," BEA Working Papers 0076, Bureau of Economic Analysis.
    2. 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.).
    3. Verónica Cañal-Fernández, 2012. "Accuracy and reliability of Spanish regional accounts (CRE-95)," Empirical Economics, Springer, vol. 43(3), pages 1299-1320, December.
    4. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
    5. Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, University of Reading.
    6. Daniel Rees & David Lancaster & Richard Finlay, 2014. "A State-space Approach to Australian GDP Measurement," RBA Research Discussion Papers rdp2014-12, Reserve Bank of Australia.
    7. 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.
    8. D’Elia Enrico, 2014. "Predictions vs. Preliminary Sample Estimates: The Case of Eurozone Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 30(3), pages 1-22, September.
    9. Boysen-Hogrefe, Jens & Neuwirth, Stefan, 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 (IfW Kiel).
    10. 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.).
    11. Valentina Raponi & Cecilia Frale, 2014. "Revisions in official data and forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 451-472, August.
    12. Cecilia Frale & Valentina Raponi, 2011. "Revisions in ocial data and forecasting," Working Papers LuissLab 1194, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    13. D'Elia, Enrico, 2012. "A case study: the revisions and forecasts of Euro Area quarterly GDP," MPRA Paper 40264, University Library of Munich, Germany.
    14. Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(3), pages 271-296, August.

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    More about this item

    Keywords

    Business cycles; Revisions; Turning points; C8; E3;
    All these keywords.

    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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