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Information in the revision process of real-time datasets

Author

Listed:
  • Valentina Corradi
  • Andres Fernandez
  • Norman R. Swanson

Abstract

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests which instead have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties. Additionally, we carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, we find strong evidence against data rationality. Interestingly, for money stock the null is not rejected by linear tests but is rejected by our tests.

Suggested Citation

  • Valentina Corradi & Andres Fernandez & Norman R. Swanson, 2008. "Information in the revision process of real-time datasets," Working Papers 08-27, Federal Reserve Bank of Philadelphia.
  • Handle: RePEc:fip:fedpwp:08-27
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    References listed on IDEAS

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    More about this item

    Keywords

    Real-time data;

    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
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts

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