On the predictability of GDP data revisions in the Netherlands
AbstractThe first part of this paper is based on a study by Faust, Rogers and Wright (2004). They found some evidence of predictability of GDP revisions for the G-7 countries, especially for the UK, Italy and Japan. In this paper we investigate the quality of the first Dutch GDP releases by using the same technique. Our findings suggest that Dutch GDP revisions are also predictable to some extent. These results are strengthened when applying the more general state-space estimation procedure. The statespace model is used to estimate the final or unobserved data, given the preliminary or observed data.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 004.
Date of creation: Jul 2004
Date of revision:
Preliminary data; final data; revision; GDP; state-space model; Kalman filter;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- 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
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