State-dependent biases and the quality of China’s preliminary GDP announcements

Lixiong Yang ()
Additional contact information
Lixiong Yang: Lanzhou University

Empirical Economics, 2020, vol. 59, issue 6, No 4, 2663-2687

Abstract: Abstract This paper investigates whether and how the systematic forecast errors of the quarterly GDP announcements in China depend on the state of the economy. Our contribution is both theoretical and empirical. On the theoretical side, we extend the predictive threshold regression of Gonzalo and Pitarakis (J Bus Econ Stat 35:202–217, 2017) by incorporating a time-varying and state-dependent threshold, which is a function of macroeconomic variables that affect the separation of regimes. On the empirical side, we apply our model to assess the quality of China’s preliminary GDP data. Our empirical results show that there exist forecast biases in the preliminary GDP data conditional on the state of the economy. Our results also lean toward supporting that there exist behavioral biases of underestimation and over-reaction to new information during periods of relatively good state. These results suggest some scope to improve the accuracy of the preliminary GDP data based purely on econometric models.

Keywords: China’s preliminary GDP data; Forecast errors; Over-reaction; Time-varying threshold; State of the economy (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 C82 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-019-01751-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01751-z

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-019-01751-z

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().