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What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence

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Author Info
Pierre Siklos () (Wilfrid Laurier University)

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Abstract

The empirical properties of benchmark revisions to key U.S. macroeconomic aggregates are examined. News versus noise impact of revisions is interpreted via the cointegration property of successive benchmark revisions. Cointegration breaks in the last two years before a benchmark revision. Hence, we conclude that there is some information content in benchmark revisions. The last point is illustrated by reporting that inflation forecasts could be improved by the addition of a time series that reflects benchmark revisions to real GDP. Standard backward and forward-looking Phillips curves are used to explore the statistical significance of benchmark revisions.

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File URL: http://www.wlu.ca/documents/22950/CompDataRev_Dec_2006.pdf
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Publisher Info
Paper provided by Wilfrid Laurier University, Department of Economics in its series Working Papers with number eg0049.

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Length: 42
Date of creation: 2006
Date of revision: 2006
Handle: RePEc:wlu:wpaper:eg0049

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Related research
Keywords: cointegration breakdown; real time data; Phillips curve;

Find related papers by JEL classification:
E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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  1. Donald W.K. Andrews & Jae-Young Kim, 2003. "End-of-Sample Cointegration Breakdown Tests," Cowles Foundation Discussion Papers 1404, Cowles Foundation, Yale University. [Downloadable!]
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  2. D. W. K. Andrews, 2003. "End-of-Sample Instability Tests," Econometrica, Econometric Society, vol. 71(6), pages 1661-1694, November. [Downloadable!] (restricted)
    Other versions:
  3. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April. [Downloadable!] (restricted)
    Other versions:
  4. Anthony Garratt & Shaun P Vahey, 2005. "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance 0502, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
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  5. Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
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  6. repec:cup:macdyn:v:1:y:1997:i:3:p:640-57 is not listed on IDEAS
  7. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12. [Downloadable!]
  8. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  9. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
  10. Joseph A. Ritter, 2000. "Feeding the national accounts," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 11-20. [Downloadable!]
  11. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  12. Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 583-601, June.
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  13. 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)
  14. Herrmann, Heinz & Orphanides, Athanasios & Siklos, Pierre L., 2005. "Real-time data and monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 271-276, December. [Downloadable!] (restricted)
  15. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  16. Sharon Kozicki, 2004. "How do data revisions affect the evaluation and conduct of monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-38. [Downloadable!]
  17. Croushore, Dean & Evans, Charles L., 2006. "Data revisions and the identification of monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1135-1160, September. [Downloadable!] (restricted)
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  18. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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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.)

  1. Jan P.A.M. Jacobs & Sturm Jan-Egbert, 2008. "The information content of KOF indicators on Swiss current account data revisions," Working papers 08-202, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
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  2. 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!]
  3. 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, School of Economics, Mathematics & Statistics. [Downloadable!]
    Other versions:
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