Data Revisions Are Not Well Behaved

S. Boragan Aruoba

Journal of Money, Credit and Banking, 2008, vol. 40, issue 2-3, 319-340

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. Copyright (c)2008 The Ohio State University.

Date: 2008
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Working Paper: Data Revisions Are Not Well-Behaved (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:40:y:2008:i:2-3:p:319-340

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