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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

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File URL: http://hdl.handle.net/10.1007/s11123-006-7640-x
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Bibliographic Info

Article provided by Springer in its journal Journal of Productivity Analysis.

Volume (Year): 25 (2006)
Issue (Month): 3 (06)
Pages: 213-229

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Handle: RePEc:kap:jproda:v:25:y:2006:i:3:p:213-229

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Web page: http://www.springerlink.com/link.asp?id=100296

Related research

Keywords: Business cycles; Revisions; Turning points; C8; E3;

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References

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  1. Karen E. Dynan & Douglas 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 2010-03-12 21:50:26
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Cited by:
  1. 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.).
  2. 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.
  3. 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.).
  4. 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.
  5. Verónica Cañal-Fernández, 2012. "Accuracy and reliability of Spanish regional accounts (CRE-95)," Empirical Economics, Springer, vol. 43(3), pages 1299-1320, December.
  6. D'Elia, Enrico, 2012. "A case study: the revisions and forecasts of Euro Area quarterly GDP," MPRA Paper 40264, University Library of Munich, Germany.
  7. Enrico D'Elia, 2014. "Predictions vs. preliminary sample estimates: the case of eurozone quarterly GDP," Working Papers 2, Department of the Treasury, Ministry of the Economy and of Finance.
  8. Ryan Greenaway-McGrevy, 2011. "Is GDP or GDI a better measure of output? A statistical approach," BEA Working Papers 0076, Bureau of Economic Analysis.
  9. 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.

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