Predictability of Euro Area Revisions

Katharina Glass

No 201801, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: This study investigates the predictability of revisions to Euro- area major macroeconomic variables using real-time data from the European Central Bank. The application of nonparametric and semiparametric tests enables robust conclusions about the predictability of revisions. Though there is wide evidence of the nonnormality of the distribution function of revision errors, this is the first application of the nonparametric approach to examine revisions. Moreover, to gain robustness, this study performs tests for parameter instability, and includes structural breaks explicitly in the predictability evaluation. The results underline the predictability of Euro area key macroeconomic revisions. Revisions are inefficient and biased, and revision errors are not optimal forecast errors.

Keywords: revision; revision errors; predictability; real-time data; Euro area; unbiasedness; efficiency; news; noise (search for similar items in EconPapers)
JEL-codes: C8 D80 (search for similar items in EconPapers)
Pages: 145 pages
Date: 2018-01
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_1_2018.pdf First version, 2018 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:201801

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