Data Revisions Are Not Well-Behaved

S. Boragan Aruoba ()

No 5271, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts. We also provide evidence that professional forecasters ignore this predictability.

Keywords: forecasting; news and noise; NIPA variables; real-time data (search for similar items in EconPapers)
JEL-codes: C22 C53 C82 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2005-10
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Journal Article: Data Revisions Are Not Well Behaved (2008)
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