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Discussion Paper Details

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Title: Data Revisions Are Not Well-Behaved

Author(s): Boragan Aruoba

Publication Date: October 2005

Keyword(s): forecasting, news and noise, NIPA variables and real-time data

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Aruoba, B. 2005. 'Data Revisions Are Not Well-Behaved'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5271