Information in the revision process of real-time datasets

Valentina Corradi, Andrés Fernández Martin and Norman Swanson ()

No 08-27, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests which instead have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties. Additionally, we carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, we find strong evidence against data rationality. Interestingly, for money stock the null is not rejected by linear tests but is rejected by our tests.

Keywords: Real-time; data (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-cba and nep-ecm
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Information in the Revision Process of Real-Time Datasets (2011)
Journal Article: Information in the Revision Process of Real-Time Datasets (2009)
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