Data vintage in testing properties of expectations

In this paper, results of quantification procedures and properties of expectations series obtained for two data vintages are described. Volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis confirms that while there a re only minor differences in quantification results with respect to data vintage, properties of expectations time series obtained on their basis do diverge. Specifically, there exists a cointegrating regression for one of the vintages only, that is, end-of-sample data. In this case, expectations and observed changes in industrial production exhibit similar long-run properties. Neither of the expectations series, however, constitutes prediction of changes in production that is unbiased or employs available information efficiently.