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Information in the Revision Process of Real-Time Datasets

  • Norman R. Swanson

    ()

    (Rutgers University)

  • Valentina Corradi

    ()

    (University of Warwick)

  • Andres Fernandez

    ()

    (Universidad de Los Andes)

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 that 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 evidence against data rationality for output and prices, but not for money

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Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 201107.

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Length: 20 pages
Date of creation: 14 May 2011
Date of revision:
Publication status: Published in Journal of Business and Economic Statistics, 27, 455-467
Handle: RePEc:rut:rutres:201107
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  1. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, 02.
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  6. 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.
  7. Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
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  10. Rathjens, Peter & Robins, Russell P, 1995. "Do Government Agencies Use Public Data?: The Case of GNP," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 170-72, February.
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  12. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
  13. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive Density Evaluation," Handbook of Economic Forecasting, Elsevier.
  14. Aruoba, Boragan, 2005. "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers 5271, C.E.P.R. Discussion Papers.
  15. Todd E. Clark & Michael W. McCracken, 2008. "Tests of equal predictive ability with real-time data," Working Papers 2008-029, Federal Reserve Bank of St. Louis.
  16. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  17. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
  18. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series 90, Board of Governors of the Federal Reserve System (U.S.).
  19. 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.).
  20. Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
  21. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
  22. Mork, Knut Anton, 1987. "Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 165-75, April.
  23. Corradi, V. & Swanson, N.R., 2000. "A Consistent Test for Nonlinear Out of Sample Predictive Accuracy," Discussion Papers 0012, Exeter University, Department of Economics.
  24. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  25. Swanson, Norman R. & van Dijk, Dick, 2006. "Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 24-42, January.
  26. Michael P. Keane & David E. Runkle, 1989. "Are economic forecasts rational?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 26-33.
  27. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  28. West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers 9417, Wisconsin Madison - Social Systems.
  29. Hansen, Bruce E., 1996. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 12(02), pages 347-359, June.
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  32. Brodsky, Noel & Newbold, Paul, 1994. "Late forecasts and early revisions of United States GNP," International Journal of Forecasting, Elsevier, vol. 10(3), pages 455-460, November.
  33. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society.
  34. Graham Elliott & Allan Timmermann & Ivana Komunjer, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," Review of Economic Studies, Oxford University Press, vol. 72(4), pages 1107-1125.
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