On the predictability of GDP data revisions in the Netherlands
The first part of this paper is based on a study by Faust, Rogers and Wright (2004). They found someevidence of predictability of GDP revisions for the G-7 countrie s, especially for the UK, Italy and Japan. In this paper we investigate the quality of the first Dutch GDP releases by using the same technique. Our findings suggest that Dutch GDP revisions are also predictable to some extent. These results are strengthened when applying the more general state-space estimation procedure. The statespace model is used to estimate the final or unobserved data, given the preliminary or observed data.
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- Swanson, N.R. & van Dijk, D.J.C., 2001.
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- Jon Faust & John H. Rogers & Jonathan H. Wright, 2000.
"News and noise in G-7 GDP announcements,"
International Finance Discussion Papers
690, Board of Governors of the Federal Reserve System (U.S.).
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- William Conrad & Carol Corrado, 1978. "Applications of the Kalman filter to revisions in monthly retail sales estimates," Special Studies Papers 125, Board of Governors of the Federal Reserve System (U.S.).
- Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 193-200, May.
- Kavajecz, Kenneth & Collins, Sean, 1995. "Rationality of Preliminary Money Stock Estimates," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 32-41, February.
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