First Announcements and Real Economic Activity
AbstractThe recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy. We show that this need not point to a behavioural relationship, whereby agents respond to the announcement, but may instead simply be a by-product of the data revision process. Initial estimates are subsequently subject to a number of rounds of revisions: the nature of these revisions is shown to be key in determining any apparent relationship between first announcements and the future course of the economy.
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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 885.
Length: 33 pages
Date of creation: 2009
Date of revision:
Announcements ; real activity ; data measurement ; revisions;
Other versions of this item:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-17 (All new papers)
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