What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence

Pierre Siklos ()

Working Papers from Wilfrid Laurier University, Department of Economics

Abstract: The empirical properties of benchmark revisions to key U.S. macroeconomic aggregates are examined. News versus noise impact of revisions is interpreted via the cointegration property of successive benchmark revisions. Cointegration breaks in the last two years before a benchmark revision. Hence, we conclude that there is some information content in benchmark revisions. The last point is illustrated by reporting that inflation forecasts could be improved by the addition of a time series that reflects benchmark revisions to real GDP. Standard backward and forward-looking Phillips curves are used to explore the statistical significance of benchmark revisions.

Keywords: cointegration breakdown; real time data; Phillips curve (search for similar items in EconPapers)
JEL-codes: E01 E31 C53 (search for similar items in EconPapers)
Date: 2006, Revised 2006
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Persistent link: http://EconPapers.repec.org/RePEc:wlu:wpaper:eg0049

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