Modeling Data Revisions
AbstractA dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's  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  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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 007929.
Date of creation: 08 Feb 2011
Date of revision:
Contact details of provider:
ata Revisions; Now-casting; Real Time Economic Analysis.;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-ECM-2011-02-19 (Econometrics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 40(2-3), pages 319-340, 03.
- 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.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with Measurement Errors in Dynamic Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 521, Queen Mary, University of London, School of Economics and Finance.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers, Bank of England 237, Bank of England.
- Yates, Tony & Richard Harrison & George Kapetanios, 2003. "Forecasting with measurement errors in dynamic models," Royal Economic Society Annual Conference 2003, Royal Economic Society 225, Royal Economic Society.
- 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.
- 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.
- Shaun Vahey & Tony Garratt, 2005. "UK Real-time Macro Data Characteristics," Computing in Economics and Finance 2005, Society for Computational Economics 253, Society for Computational Economics.
- 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.
- Fabio Busetti, 2006. "Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(1), pages 1-23.
- 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.
- 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.
- 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.
- 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 009827, BANCO DE LA REPÚBLICA.
- Juan Manuel Julio, 2011.
"Data Revisions and the Output Gap,"
BORRADORES DE ECONOMIA
007956, BANCO DE LA REPÚBLICA.
- Julio Roman, Juan Manuel, 2011. "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper 34202, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera).
If references are entirely missing, you can add them using this form.