Data vintage in testing properties of expectations

Emilia Tomczyk
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Emilia Tomczyk: Warsaw School of Economics

Applied Econometrics Papers, 2015, vol. 2, issue 1, 10-29

Abstract: In this paper, results of quantification procedures and properties of expectations series obtained for two data vintages are described. Volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis confirms that while there a re only minor differences in quantification results with respect to data vintage, properties of expectations time series obtained on their basis do diverge. Specifically, there exists a cointegrating regression for one of the vintages only, that is, end-of-sample data. In this case, expectations and observed changes in industrial production exhibit similar long-run properties. Neither of the expectations series, however, constitutes prediction of changes in production that is unbiased or employs available information efficiently.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:wse:journl:v:2:y:2015:i:1:p:10-29

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