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Real-Time Data Revisions and the PCE Measure of Inflation

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  • Tierney, Heather L.R.

Abstract

This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for coincidence against the regression parameters of the last vintage of real-time data used in this paper, which is vintage 2008:Q2 in a parametric and two nonparametric frameworks. The effects of data revisions are not detectable in the vast majority of cases in the parametric model, but the flexibility of the two nonparametric models is able to utilize the data revisions.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20625.

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Date of creation: 01 Feb 2010
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Handle: RePEc:pra:mprapa:20625

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Keywords: Real-Time Data; Inflation Persistence; Nonparametrics; Monetary Policy; In-Sample Forecasting;

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Cited by:
  1. Tierney, Heather L.R., 2013. "Forecasting and Tracking Real-Time Data Revisions in Inflation Persistence," MPRA Paper 51398, University Library of Munich, Germany.

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