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Seasonality in revisions of macroeconomic data

Author

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  • Franses, Ph.H.B.F.
  • Segers, R.

Abstract

We analyze five vintages of eighteen quarterly macroeconomic variables for the Netherlands and we focus on the degree of deterministic seasonality in these series. We document that the data show most such deterministic seasonality for their first release vintage and for the last available vintage. In between vintages show a variety of seasonal patterns. We show that seasonal patterns in later vintages can hardly be predicted by those in earlier vintages. The consequences of these findings for the interpretation and modeling of macroeconomic data are discussed.

Suggested Citation

  • Franses, Ph.H.B.F. & Segers, R., 2008. "Seasonality in revisions of macroeconomic data," Econometric Institute Research Papers EI 2008-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Handle: RePEc:ems:eureir:12211
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    File URL: https://repub.eur.nl/pub/12211/EI200809.pdf
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    Cited by:

    1. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.

    More about this item

    Keywords

    real-time data; seasonality;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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