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Modeling Data Revisions

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  • Juan Manuel Julio Román

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Abstract

A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two ways. First, the "true" data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise, the model follows Jacobs & Van Norden's [13] so their gains are extended through the new assumptions. These assumptions represent the data release process more realistically under particular circumstances, and improve the overall identification of the model. An application to the year to year growth of the Colombian quarterly GDP reveals that preliminary growth reports under-estimate the true growth, and that measurement errors are predictable from the information available at the data release. The models implemented in this note help this purpose.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 007929.

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Length: 33
Date of creation: 08 Feb 2011
Date of revision:
Handle: RePEc:col:000094:007929

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Keywords: ata Revisions; Now-casting; Real Time Economic Analysis.;

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  1. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 101-109, April.
  2. Aruoba, Boragan, 2005. "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5271, C.E.P.R. Discussion Papers.
  3. Harrison, Richard & Kapetanios, George & Yates, Tony, 2005. "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(3), pages 595-607.
  4. Trivellato, Ugo & Rettore, Enrico, 1986. "Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(4), pages 445-53, October.
  5. Anthony Garratt & Shaun P Vahey, 2005. "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0502, Birkbeck, Department of Economics, Mathematics & Statistics.
  6. Busetti, Fabio, 2004. "Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4382, C.E.P.R. Discussion Papers.
  7. Bordignon, Silvano & Trivellato, Ugo, 1989. "The Optimal Use of Provisional Data in Forecasting with Dynamic Model s," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(2), pages 275-86, April.
  8. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers, Wilfrid Laurier University, Department of Economics eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
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Cited by:
  1. Deicy J. Cristiano & Manuel D. Hernández & José David Pulido, 2012. "Pronósticos de corto plazo en tiempo real para la actividad económica colombiana," Borradores de Economia 724, Banco de la Republica de Colombia.
  2. Juan Manuel Julio, 2011. "Data Revisions and the Output Gap," BORRADORES DE ECONOMIA 007956, BANCO DE LA REPÚBLICA.
  3. Julio Roman, Juan Manuel, 2011. "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper 34202, University Library of Munich, Germany.

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