Data Revisions Are Not Well-Behaved

S. Boragan Aruoba

No 5271, CEPR Discussion Papers from Centre for Economic Policy Research

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. We also provide evidence that professional forecasters ignore this predictability.

Keywords: Forecasting; News and noise; Real-time data; Nipa variables (search for similar items in EconPapers)
JEL-codes: C22 C53 C82 (search for similar items in EconPapers)
Date: 2005-10
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://cepr.org/publications/DP5271 (application/pdf)

Related works:
Journal Article: Data Revisions Are Not Well Behaved (2008)
Journal Article: Data Revisions Are Not Well Behaved (2008)
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:cpr:ceprdp:5271

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP5271

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().