Seasonality in revisions of macroeconomic data
AbstractWe analyze five vintages of eighteen quarterly macroeconomic variables for the Netherlands and we focus on the degree of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for their first release vintage and for the last available vintage. In between vintages show a variety of seasonal patterns. We show that seasonal patterns in later vintages can hardly be predicted by those in earlier vintages. The consequences of these findings for the interpretation and modeling of macroeconomic data are discussed.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2008-09.
Date of creation: 14 Apr 2008
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seasonality; real-time data;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-ETS-2009-03-28 (Econometric Time Series)
- NEP-MAC-2009-03-28 (Macroeconomics)
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- Andres Fernandez & Norman R. Swanson, 2009.
"Real-time datasets really do make a difference: definitional change, data release, and forecasting,"
09-28, Federal Reserve Bank of Philadelphia.
- Norman R. Swanson & Andres Fernandez, 2011. "Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting," Departmental Working Papers 201113, Rutgers University, Department of Economics.
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