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News or Noise? An Analysis of GNP Revisions

Citations

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Cited by:

  1. Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
  2. Clements, Michael P., 2010. "Explanations of the inconsistencies in survey respondents' forecasts," European Economic Review, Elsevier, vol. 54(4), pages 536-549, May.
  3. Adam J. Check & Anna K Nolan & Tyler C. Schipper, 2019. "Forecasting GDP Growth using Disaggregated GDP Revisions," Economics Bulletin, AccessEcon, vol. 39(4), pages 2580-2588.
  4. Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009. "A State Space Approach to Extracting the Signal From Uncertain Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 173-180, March.
  5. Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
  6. Thomas A. Knetsch, 2005. "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 61-92, Springer.
  7. repec:spo:wpmain:info:hdl:2441/2q9catktmn91sabau2l9qji1as is not listed on IDEAS
  8. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
  9. Karen E. Dynan & Douglas W. Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series 2001-52, Board of Governors of the Federal Reserve System (U.S.).
  10. Kajal Lahiri & Gultekin Isiklar, 2010. "Estimating International Transmission of Shocks Using GDP Forecasts: India and Its Trading Partners," Discussion Papers 10-06, University at Albany, SUNY, Department of Economics.
  11. 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.
  12. Laurence Ball & Joern Onken, 2022. "Hysteresis in unemployment: Evidence from OECD estimates of the natural rate," International Finance, Wiley Blackwell, vol. 25(3), pages 268-284, December.
  13. Jan Jacobs & Jan-Egbert Sturm, 2009. "The information content of KOF indicators on Swiss current account data revisions," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2008(2), pages 161-181.
  14. Frederick H. Wallace & Gary L. Shelley & Luis F. Cabrera Castellanos, 2004. "Pruebas de la neutralidad monetaria a largo plazo: el caso de Nicaragua," Monetaria, CEMLA, vol. 0(4), pages 407-418, octubre-d.
  15. Camila Figueroa & Jorge Fornero & Pablo García, 2019. "Hindsight vs. Real time measurement of the output gap: Implications for the Phillips curve in the Chilean Case," Working Papers Central Bank of Chile 854, Central Bank of Chile.
  16. Dean Croushore, 2009. "Commentary on Estimating U.S. output growth with vintage data in a state-space framework," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 371-382.
  17. Croushore, Dean & Evans, Charles L., 2006. "Data revisions and the identification of monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1135-1160, September.
  18. Frankel, Jeffrey A., 1988. "Obstacles to International Macroeconomic Policy Coordination," Journal of Public Policy, Cambridge University Press, vol. 8(3-4), pages 353-374, July.
  19. Francisco De Castro & Javier J. Pérez & Marta Rodríguez‐Vives, 2013. "Fiscal Data Revisions in Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1187-1209, September.
  20. Katharina Glass & Ulrich Fritsche, 2015. "Real-time Macroeconomic Data and Uncertainty," Macroeconomics and Finance Series 201406, University of Hamburg, Department of Socioeconomics.
  21. Glenn D. Rudebusch, 2001. "Is The Fed Too Timid? Monetary Policy In An Uncertain World," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 203-217, May.
  22. Pascal Bührig & Klaus Wohlrabe, 2015. "Revisionen der deutschen Industrieproduktion und die ifo Indikatoren," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(21), pages 27-31, November.
  23. Lise Pichette & Marie-Noëlle Robitaille, 2017. "Assessing the Business Outlook Survey Indicator Using Real-Time Data," Discussion Papers 17-5, Bank of Canada.
  24. komaki, Yasuyuki, 2023. "Why is the forecast error of quarterly GDP in Japan so large? – From an international comparison of quarterly GDP forecast situation," Japan and the World Economy, Elsevier, vol. 66(C).
  25. Ducoudré, Bruno & Hubert, Paul & Tabarly, Guilhem, 2020. "The state-dependence of output revisions," Economics Letters, Elsevier, vol. 192(C).
  26. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
  27. Olivier Roodenburg, 2004. "On the predictability of GDP data revisions in the Netherlands," DNB Working Papers 004, Netherlands Central Bank, Research Department.
  28. Marcellino, Massimiliano & Musso, Alberto, 2011. "The reliability of real-time estimates of the euro area output gap," Economic Modelling, Elsevier, vol. 28(4), pages 1842-1856, July.
  29. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, September.
  30. Sinclair, Tara M. & Stekler, H.O., 2013. "Examining the quality of early GDP component estimates," International Journal of Forecasting, Elsevier, vol. 29(4), pages 736-750.
  31. Kishor, N. Kundan, 2011. "Data revisions in India: Implications for monetary policy," Journal of Asian Economics, Elsevier, vol. 22(2), pages 164-173, April.
  32. 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.
  33. Nikoleta Anesti & Ana Beatriz Galvao & Silvia Miranda-Agrippino, 2018. "Uncertain Kingdom: Nowcasting GDP and its Revisions," Discussion Papers 1824, Centre for Macroeconomics (CFM).
  34. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
  35. Clements, Michael P. & Beatriz Galvao, Ana, 2010. "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," Economic Research Papers 270771, University of Warwick - Department of Economics.
  36. Clements, Michael P., 2019. "Do forecasters target first or later releases of national accounts data?," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1240-1249.
  37. Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Real-time forecast density combinations (forecasting US GDP growth using mixed-frequency data)," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  38. Jan Jacobs & Jan-Egbert Sturm, 2007. "A real-time analysis of the Swiss trade account," Money Macro and Finance (MMF) Research Group Conference 2006 167, Money Macro and Finance Research Group.
  39. Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Department of Economics - Working Papers Series 1040, The University of Melbourne.
  40. Jari Hännikäinen, 2014. "Multi-step forecasting in the presence of breaks," Working Papers 1494, Tampere University, Faculty of Management and Business, Economics.
  41. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
  42. Leonard I. Nakamura & Tom Stark, 2005. "Benchmark revisions and the U.S. personal saving rate," Working Papers 05-6, Federal Reserve Bank of Philadelphia.
  43. Luis Mario Hernández Acevedo, 2004. "Señales de política monetaria y tasas de interés en México," Monetaria, CEMLA, vol. 0(4), pages 343-367, octubre-d.
  44. repec:wrk:wrkemf:35 is not listed on IDEAS
  45. James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
  46. Chandranath Amarasekara & Rahul Anand & Kithsiri Ehelepola & Hemantha Ekanayake & Vishuddhi Jayawickrema & Sujeetha Jegajeevan & Csaba Kober & Tharindi Nugawela & Sergey Plotnikov & Adam Remo & Poongo, 2018. "An Open Economy Quarterly Projection Model for Sri Lanka," IMF Working Papers 2018/149, International Monetary Fund.
  47. Christian Glocker & Philipp Wegmueller, 2020. "Business cycle dating and forecasting with real-time Swiss GDP data," Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
  48. Yunus Aksoy & Kurmas Akdogan, 2006. "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006 12, Society for Computational Economics.
  49. Clements, Michael P., 2012. "Do professional forecasters pay attention to data releases?," International Journal of Forecasting, Elsevier, vol. 28(2), pages 297-308.
  50. Swanson, Eric T., 2004. "Signal Extraction And Non-Certainty-Equivalence In Optimal Monetary Policy Rules," Macroeconomic Dynamics, Cambridge University Press, vol. 8(1), pages 27-50, February.
  51. Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September.
  52. 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.
  53. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
  54. Hännikäinen Jari, 2017. "Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-22, January.
  55. KOMINE Takao & BAN Kanemi & KAWAGOE Masaaki & YOSHIDA Hiroshi, 2009. "What Have We Learned from a Survey of Japanese Professional Forecasters? Taking Stock of Four Years of ESP Forecast Experience," ESRI Discussion paper series 214, Economic and Social Research Institute (ESRI).
  56. Riccardo M. Masolo & Alessia Paccagnini, 2019. "Identifying Noise Shocks: A VAR with Data Revisions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2145-2172, December.
  57. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
  58. Strohsal, Till & Wolf, Elias, 2020. "Data revisions to German national accounts: Are initial releases good nowcasts?," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1252-1259.
  59. Michael P. Clements, 2017. "Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 420-433, July.
  60. repec:hal:spmain:info:hdl:2441/2q9catktmn91sabau2l9qji1as is not listed on IDEAS
  61. Miron, Jeffrey A. & Zeldes, Stephen P., 1989. "Production, sales, and the change in inventories : An identity that doesn't add up," Journal of Monetary Economics, Elsevier, vol. 24(1), pages 31-51, July.
  62. Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003. "The Use and Abuse of Real-Time Data in Economic Forecasting," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 618-628, August.
  63. Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006. "Learning asymmetries in real business cycles," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 753-772, May.
  64. Clements, Michael P. & Beatriz Galvão, Ana, 2010. "First announcements and real economic activity," European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.
  65. Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
  66. Leif Anders Thorsrud, 2016. "Nowcasting using news topics Big Data versus big bank," Working Papers No 6/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  67. Oller, Lars-Erik & Teterukovsky, Alex, 2007. "Quantifying the quality of macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 23(2), pages 205-217.
  68. Alan B. Krueger & Kenneth N. Fortson, 2003. "Do Markets Respond More to More Reliable Labor Market Data? A Test of Market Rationality," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 931-957, June.
  69. Alan Krueger, 1996. "Do Markets Respond More To More Reliable Labor Market Data? A Test of Market Rationality," Working Papers 746, Princeton University, Department of Economics, Industrial Relations Section..
  70. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
  71. Sandra Bilek-Steindl & Petra Sauer, 2009. "An Evaluation of Revisions and Quality Aspects of Austrian Quarterly GDP Publications," WIFO Studies, WIFO, number 37201.
  72. Amey Sapre & Rajeswari Sengupta, 2017. "Analysis of Revisions in Indian GDP Data," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 18(4), pages 129-172, October.
  73. Andreas Dibiasi & Samad Sarferaz, 2020. "Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective," Papers 2006.09007, arXiv.org, revised Dec 2020.
  74. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
  75. Loukoianova, E. & Vahey, S.P. & Elizabeth C. Wakerly, 2002. "A Real Time Tax Smoothing Based Fiscal Policy Rule," Cambridge Working Papers in Economics 0235, Faculty of Economics, University of Cambridge.
  76. Hara, Naoko & Ichiue, Hibiki, 2011. "Real-time analysis on Japan's labor productivity," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 107-130, June.
  77. Fabio Busetti, 2001. "The use of preliminary data in econometric forecasting: an application with the Bank of Italy Quarterly Model," Temi di discussione (Economic working papers) 437, Bank of Italy, Economic Research and International Relations Area.
  78. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
  79. D’Elia Enrico, 2014. "Predictions vs. Preliminary Sample Estimates: The Case of Eurozone Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 30(3), pages 499-520, September.
  80. S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.
  81. Amador-Torres, J. Sebastián, 2017. "Finance-neutral potential output: An evaluation in an emerging market monetary policy context," Economic Systems, Elsevier, vol. 41(3), pages 389-407.
  82. 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.
  83. Emilia Tomczyk, 2013. "End of sample vs. real time data: perspectives for analysis of expectations," Working Papers 68, Department of Applied Econometrics, Warsaw School of Economics.
  84. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307, April.
  85. Thomas A. Knetsch & Hans‐Eggert Reimers, 2009. "Dealing with Benchmark Revisions in Real‐Time Data: The Case of German Production and Orders Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 209-235, April.
  86. Kishor, N. Kundan, 2009. "Data Revisions in India and its Implications for Monetary Policy," MPRA Paper 16099, University Library of Munich, Germany.
  87. Valentina Raponi & Cecilia Frale, 2014. "Revisions in official data and forecasting," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 451-472, August.
  88. Konstantin A. Kholodilin & Boriss Siliverstovs, 2009. "Do forecasters inform or reassure?," KOF Working papers 09-215, KOF Swiss Economic Institute, ETH Zurich.
  89. Orphanides, Athanasios, 2003. "Monetary policy evaluation with noisy information," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 605-631, April.
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  91. Feenberg, Daniel R, et al, 1989. "Testing the Rationality of State Revenue Forecasts," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 300-308, May.
  92. Clements Michael P., 2012. "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-27, January.
  93. Timo Wollmershäuser, 2016. "Vorhersage der Revisionen der Vorratsveränderungen mit Hilfe der ifo Lagerbeurteilung," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 69(07), pages 26-32, April.
  94. Bernhardsen, Tom & Eitrheim, Oyvind & Jore, Anne Sofie & Roisland, Oistein, 2005. "Real-time data for Norway: Challenges for monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 333-349, December.
  95. Jürgen Bierbaumer & Sandra Bilek-Steindl & Marcus Scheiblecker, 2015. "Analysis of the Revisions to the Quarterly National Accounts Since the Introduction of Flash Estimates in 2005," WIFO Bulletin, WIFO, vol. 20(2), pages 14-30, February.
  96. Kajal Lahiri, 2012. "Comment on "Forecast Rationality Tests Based on Multi-Horizon Bounds" by Andrew Patton and Allan Timmermann. Journal of Business and Economic Statistics, No. 1, Vol. 30, 2012, pp.1-17," Discussion Papers 12-10, University at Albany, SUNY, Department of Economics.
  97. Thomas F. Crossley & Peter Levell & Stavros Poupakis, 2022. "Regression with an imputed dependent variable," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1277-1294, November.
  98. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307.
  99. Dean Croushore & Tom Stark, 2003. "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 605-617, August.
  100. Dean Croushore, 2019. "Revisions to PCE Inflation Measures: Implications for Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 241-265, October.
  101. Sharon Kozicki, 2004. "¿De qué forma afectan las revisiones de datos a la evaluación y conducción de la política monetaria?," Monetaria, CEMLA, vol. 0(4), pages 369-405, octubre-d.
  102. S. Borağan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 319-340, March.
  103. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
  104. Dean Croushore & Tom Stark, 2002. "Is macroeconomic research robust to alternative data sets?," Working Papers 02-3, Federal Reserve Bank of Philadelphia.
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  106. Patterson, K. D., 1995. "Forecasting the final vintage of real personal disposable income: A state space approach," International Journal of Forecasting, Elsevier, vol. 11(3), pages 395-405, September.
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  132. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
  133. Andrew C. Chang & Phillip Li, 2018. "Measurement Error In Macroeconomic Data And Economics Research: Data Revisions, Gross Domestic Product, And Gross Domestic Income," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1846-1869, July.
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  135. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
  136. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
  137. Roland Döhrn, 2023. "Are German National Accounts informationally efficient?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(1), pages 23-42, March.
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  141. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
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