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Is macroeconomic research robust to alternative data sets?

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  • Dean Croushore
  • Tom Stark

Abstract

This paper uses a real-time data set to analyze data revisions and to test the robustness of published econometric results. The data set consists of vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper illustrates why such data may matter, examines the properties of several of the variables in the data set across vintages, and examines key empirical papers in macroeconomics, investigating their robustness to different vintages.

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File URL: http://www.philadelphiafed.org/research-and-data/publications/working-papers/2002/wp02-3.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 02-3.

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Date of creation: 2002
Date of revision:
Handle: RePEc:fip:fedpwp:02-3

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Keywords: Macroeconomics;

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References

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  1. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers, Federal Reserve Bank of Philadelphia 01-10, Federal Reserve Bank of Philadelphia.
  2. Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003. "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 85(3), pages 618-628, August.
  3. Glenn D. Rudebusch, 1999. "Is the Fed too timid? Monetary policy in an uncertain world," Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco 99-05, Federal Reserve Bank of San Francisco.
  4. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0055, National Bureau of Economic Research, Inc.
  5. Swanson Norman, 1996. "Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 1(1), pages 1-20, April.
  6. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  7. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 525-546, April.
  8. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers, CIRANO 98s-40, CIRANO.
  9. Mork, Knut Anton, 1987. "Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(2), pages 165-75, April.
  10. 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.
  11. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers, Federal Reserve Bank of Philadelphia 99-4, Federal Reserve Bank of Philadelphia.
  12. Norman R. Swanson & Jeffery D. Amato, 2000. "The real-time predictive content of money for output," BIS Working Papers, Bank for International Settlements 96, Bank for International Settlements.
  13. Flavin, Marjorie A, 1981. "The Adjustment of Consumption to Changing Expectations about Future Income," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 89(5), pages 974-1009, October.
  14. Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 60(2), pages 193-200, May.
  15. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 86(6), pages 971-87, December.
  16. Pierre-Daniel G. Sarte, 1997. "On the identification of structural vector autoregressions," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 45-68.
  17. Dewald, William G & Thursby, Jerry G & Anderson, Richard G, 1986. "Replication in Empirical Economics: The Journal of Money, Credit and Banking Project," American Economic Review, American Economic Association, American Economic Association, vol. 76(4), pages 587-603, September.
  18. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
  19. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 90, Board of Governors of the Federal Reserve System (U.S.).
  20. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
  21. Athanasios Orphanides, 1998. "Monetary policy rules based on real-time data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-03, Board of Governors of the Federal Reserve System (U.S.).
  22. Rosanne Cole, 1969. "Data Errors and Forecasting Accuracy," NBER Chapters, National Bureau of Economic Research, Inc, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 47-82 National Bureau of Economic Research, Inc.
  23. Maravall, Agustin & Pierce, David A, 1986. "The Transmission of Data Noise into Policy Noise in U.S. Monetary Control," Econometrica, Econometric Society, Econometric Society, vol. 54(4), pages 961-79, July.
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Citations

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Cited by:
  1. Gerberding, Christina & Worms, Andreas & Seitz, Franz, 2004. "How the Bundesbank really conducted monetary policy: An analysis based on real-time data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2004,25, Deutsche Bundesbank, Research Centre.
  2. Fuhrer, Jeff & Tootell, Geoff, 2008. "Eyes on the prize: How did the fed respond to the stock market?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(4), pages 796-805, May.

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