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Data revisions and periodic properties of macroeconomic data

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  • Franses, Philip Hans

Abstract

Many macroeconomic time series variables show signs of periodicity, that is, seasonal heteroskedasticity and seasonally varying autocorrelation structures. This paper argues that these periodic properties could in part be due to data revisions in case such revisions follow a particular format. Periodicity is shown to appear when quarterly data are revised by allocating updated annual information across the quarters in previous years. An illustration for four waves of seventeen Dutch macroeconomic data emphasizes this result.

Suggested Citation

  • Franses, Philip Hans, 2013. "Data revisions and periodic properties of macroeconomic data," Economics Letters, Elsevier, vol. 120(2), pages 139-141.
    • Handle: RePEc:eee:ecolet:v:120:y:2013:i:2:p:139-141
    DOI: 10.1016/j.econlet.2013.04.014
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    References listed on IDEAS

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    1. Franses, Philip Hans, 1995. "The effects of seasonally adjusting a periodic autoregressive process," Computational Statistics & Data Analysis, Elsevier, vol. 19(6), pages 683-704, June.
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    4. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030, Decembrie.
    5. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, January.
    6. Todd, Richard M., 1990. "Periodic linear-quadratic methods for modeling seasonality," Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 763-795, October.
    7. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-419, June.
    8. Dezhbakhsh, Hashem & Levy, Daniel, 1994. "Periodic properties of interpolated time series (Economics Letters 44, no. 3, 1994, pp. 221-228)," Economics Letters, Elsevier, vol. 46(2), pages 183-183, October.
    9. Philip Hans Franses, 2009. "Why is GDP typically revised upwards?," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(2), pages 125-130, May.
    10. Hansen, Lars Peter & Sargent, Thomas J., 1993. "Seasonality and approximation errors in rational expectations models," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 21-55.
    11. Osborn, Denise R, 1988. "Seasonality and Habit Persistence in a Life Cycle Model of Consumptio n," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 255-266, October-D.
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    Cited by:

    1. Abo-Zaid, Salem, 2014. "Revisions to US labor market data and the public’s perception of the economy," Economics Letters, Elsevier, vol. 122(2), pages 119-124.
    2. Dezhbakhsh, Hashem & Levy, Daniel, 2022. "Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 213.

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    More about this item

    Keywords

    Data revisions; Seasonality; Periodicity;
    All these keywords.

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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