Modeling Data Revisions
A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's  in two ways. First, the "true" data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise, the model follows Jacobs & Van Norden's  so their gains are extended through the new assumptions. These assumptions represent the data release process more realistically under particular circumstances, and improve the overall identification of the model. An application to the year to year growth of the Colombian quarterly GDP reveals that preliminary growth reports under-estimate the true growth, and that measurement errors are predictable from the information available at the data release. The models implemented in this note help this purpose.
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- S. Boragan Aruoba, 2008.
"Data Revisions Are Not Well Behaved,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 40(2-3), pages 319-340, 03.
- Richard Harrison & George Kapetanios & Tony Yates, 2004.
"Forecasting with Measurement Errors in Dynamic Models,"
521, Queen Mary University of London, School of Economics and Finance.
- Harrison, Richard & Kapetanios, George & Yates, Tony, 2005. "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 595-607.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with measurement errors in dynamic models," Bank of England working papers 237, Bank of England.
- Yates, Tony & Richard Harrison & George Kapetanios, 2003. "Forecasting with measurement errors in dynamic models," Royal Economic Society Annual Conference 2003 225, Royal Economic Society.
- Fabio Busetti, 2006.
"Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 25(1), pages 1-23.
- Busetti, Fabio, 2004. "Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model," CEPR Discussion Papers 4382, C.E.P.R. Discussion Papers.
- Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
- Bordignon, Silvano & Trivellato, Ugo, 1989. "The Optimal Use of Provisional Data in Forecasting with Dynamic Model s," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 275-86, April.
- Trivellato, Ugo & Rettore, Enrico, 1986. "Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 445-53, October.
- Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
- Anthony Garratt & Shaun P Vahey, 2005.
"UK Real-Time Macro Data Characteristics,"
Birkbeck Working Papers in Economics and Finance
0502, Birkbeck, Department of Economics, Mathematics & Statistics.
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