Data revisions and periodic properties of macroeconomic data

Philip Hans Franses

Economics Letters, 2013, vol. 120, issue 2, 139-141

Abstract: Many macroeconomic time series variables show signs of periodicity, that is, seasonal heteroskedasticity and seasonally varying autocorrelation structures. This paper argues that these periodic properties could in part be due to data revisions in case such revisions follow a particular format. Periodicity is shown to appear when quarterly data are revised by allocating updated annual information across the quarters in previous years. An illustration for four waves of seventeen Dutch macroeconomic data emphasizes this result.

Keywords: Data revisions; Seasonality; Periodicity (search for similar items in EconPapers)
JEL-codes: E01 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:2:p:139-141

DOI: 10.1016/j.econlet.2013.04.014

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