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Real-Time Data Revisions and the PCE Measure of Inflation

Heather Tierney ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for coincidence against the regression parameters of the last vintage of real-time data used in this paper, which is vintage 2008:Q2 in a parametric and two nonparametric frameworks. The effects of data revisions are not detectable in the vast majority of cases in the parametric model, but the flexibility of the two nonparametric models is able to utilize the data revisions.

Keywords: Real-Time Data; Inflation Persistence; Nonparametrics; Monetary Policy; In-Sample Forecasting (search for similar items in EconPapers)
JEL-codes: C53 C14 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mon
Date: 2010-02-01
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https://mpra.ub.uni-muenchen.de/20625/1/MPRA_paper_20625.pdf original version (application/pdf)

Related works:
Journal Article: Real-time data revisions and the PCE measure of inflation (2011) Downloads
Working Paper: Real-Time Data Revisions and the PCE Measure of Inflation (2010) Downloads
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