This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Data Revisions Are Not Well-Behaved Author info | Abstract | Publisher info | Download info | Related research | Statistics Aruoba, Boragan
Additional information is available for the following
registered author(s):
We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts. We also provide evidence that professional forecasters ignore this predictability.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
5271.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Oct 2005Date of revision:
Handle: RePEc:cpr:ceprdp:5271Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: forecasting ; news and noise ; NIPA variables ; real-time data ; Other versions of this item:
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
This paper has been announced in the following NEP Reports :
References listed on IDEAS 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.: Dean Croushore & Tom Stark, 2003.
"A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter? ,"
The Review of Economics and Statistics ,
MIT Press, vol. 85(3), pages 605-617, 04.
[Downloadable!] (restricted)
Other versions: Christina D. Romer & David H. Romer, 2000.
"Federal Reserve Information and the Behavior of Interest Rates ,"
American Economic Review ,
American Economic Association, vol. 90(3), pages 429-457, June.
[Downloadable!] (restricted)
N. Gregory Mankiw & Matthew D. Shapiro, 1986.
"News or Noise? An Analysis of GNP Revisions ,"
NBER Working Papers
1939, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy ,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 134-44, January.
Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005.
"News and Noise in G-7 GDP Announcements ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 37(3), pages 403-19, June.
Other versions: Mork, Knut Anton, 1987.
"Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 5(2), pages 165-75, April.
William Conrad & Carol Corrado, 1978.
"Applications of the Kalman filter to revisions in monthly retail sales estimates ,"
Special Studies Papers
125, Board of Governors of the Federal Reserve System (U.S.).
Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists ,"
Journal of Econometrics ,
Elsevier, vol. 105(1), pages 111-130, November.
[Downloadable!] (restricted)
Other versions: Knut Anton Mork, 1990.
"Forecastable Money-Growth Revisions: A Closer Look at the Data ,"
Canadian Journal of Economics ,
Canadian Economics Association, vol. 23(3), pages 593-616, August.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , 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.)
Laura Veldkamp & Justin Wolfers, 2006.
"Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement ,"
Working Papers
06-12, New York University, Leonard N. Stern School of Business, Department of Economics.
[Downloadable!]
Other versions:
Laura Veldkamp & Justin Wolfers, 2006.
"Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement ,"
NBER Working Papers
12557, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Laura Veldkamp & Justin Wolfers, 2006.
"Aggregate shocks or aggregate information? costly information and business cycle comovement ,"
Working Paper Series
2006-26, Federal Reserve Bank of San Francisco.
[Downloadable!] Veldkamp, Laura & Wolfers, Justin, 2006.
"Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement ,"
CEPR Discussion Papers
5898, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Laura Veldkamp & Justin Wolfers, 2006.
"Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement ,"
IZA Discussion Papers
2339, Institute for the Study of Labor (IZA).
[Downloadable!] Veldkamp, Laura & Wolfers, Justin, 2007.
"Aggregate shocks or aggregate information? Costly information and business cycle comovement ,"
Journal of Monetary Economics ,
Elsevier, vol. 54(Supplemen), pages 37-55, September.
[Downloadable!] (restricted) María-Dolores, Ramon & Vázquez, Jesús & Londoño, Juan M., 2009.
"On the informational role of term structure in the US monetary policy rule ,"
Annals of Computational Economics
4699, Murcia University, DIGITUM. Universidad de Murcia.
[Downloadable!]
Other versions: Todd E. Clark & Michael W. McCracken, 2007.
"Tests of equal predictive ability with real-time data ,"
Research Working Paper
RWP 07-06, Federal Reserve Bank of Kansas City.
[Downloadable!]
Other versions:
Todd E. Clark & Michael W. McCracken, 2008.
"Tests of equal predictive ability with real-time data ,"
Working Papers
2008-029, Federal Reserve Bank of St. Louis.
[Downloadable!] Clark, Todd E. & McCracken, Michael W., 2009.
"Tests of Equal Predictive Ability With Real-Time Data ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 27(4), pages 441-454.
[Downloadable!] (restricted) Kurmas Akdogan & Yunus Aksoy, 2007.
"Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time? ,"
Working Papers
0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
[Downloadable!]
Other versions: Dean Croushore, 2008.
"Revisions to PCE inflation measures: implications for monetary policy ,"
Working Papers
08-8, Federal Reserve Bank of Philadelphia.
[Downloadable!]
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008.
"Real-Time Measurement of Business Conditions ,"
NBER Working Papers
14349, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008.
"Real-time measurement of business conditions ,"
Working Papers
08-19, Federal Reserve Bank of Philadelphia.
[Downloadable!] S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-Time Measurement of Business Conditions ,"
PIER Working Paper Archive
07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
[Downloadable!] Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006.
"Real-Time Measurement of Business Conditions ,"
Computing in Economics and Finance 2006
387, Society for Computational Economics.
S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007.
"Real-time measurement of business conditions ,"
International Finance Discussion Papers
901, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009.
"Real-Time Measurement of Business Conditions ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 27(4), pages 417-427.
[Downloadable!] (restricted) Valentina Corradi & Andres Fernandez & Norman Swanson, 2008.
"Information in the revision process of real-time datasets ,"
Working Papers
08-27, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Leonard I. Nakamura & Tom Stark, 2007.
"Mismeasured personal saving and the permanent income hypothesis ,"
Working Papers
07-8, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Kishor, N. Kundan, 2009.
"Data Revisions in India and its Implications for Monetary Policy ,"
MPRA Paper
16099, University Library of Munich, Germany.
[Downloadable!]
Clements, Michael P. & Galvão, Ana Beatriz, 2009.
"First Announcements and Real Economic Activity ,"
The Warwick Economics Research Paper Series (TWERPS)
885, University of Warwick, Department of Economics.
[Downloadable!]
Jan Jacobs & Jan-Egbert Sturm, 2007.
"A real-time analysis of the Swiss trade account ,"
Money Macro and Finance (MMF) Research Group Conference 2006
167, Money Macro and Finance Research Group.
[Downloadable!]
Carlo Altavilla & Matteo Ciccarelli, 2007.
"Information combination and forecast (st)ability. Evidence from vintages of time-series data ,"
Working Paper Series
846, European Central Bank.
[Downloadable!]
Dean Croushore, 2008.
"Frontiers of real-time data analysis ,"
Working Papers
08-4, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Anthony Garratt & Gary Koop & Emi Mise & Shaun P Vahey, 2007.
"Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty ,"
Birkbeck Working Papers in Economics and Finance
0714, Birkbeck, Department of Economics, Mathematics & Statistics.
[Downloadable!]
Other versions:
Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008.
"Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty ,"
Reserve Bank of New Zealand Discussion Paper Series
DP2008/13, Reserve Bank of New Zealand.
[Downloadable!] Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009.
"Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 27(4), pages 480-491.
[Downloadable!] (restricted)
Access and
download statistics Did you know? All full texts are decentralized with the publishers, none reside on this server, thus making it possible to offer this service for free to all parties.
This page was last updated on 2010-3-9.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .