Data Revisions Are Not Well Behaved

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 announ...

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Bibliographic Details
Published in:Journal of money, credit and banking credit and banking, 2008-03, Vol.40 (2-3), p.319-340
Main Author: ARUOBA, S. BORAĞAN
Format: Article
Language:English
Subjects:
Analysis
Analytical forecasting
Bias
C22
C53
C82
Capacity utilization
forecasting
Forecasts
Gross domestic product
Industrial capacity
Industrial production
Labor productivity
Macroeconomics
Manufacturing industries
Manufacturing output
News
news and noise
NIPA variables
Rational expectations (Economics)
Real output
real-time data
Revisions
Statistical data
Statistics
Studies
U.S.A
Uncertainty
Unemployment rates
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Summary: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.
ISSN:0022-2879
1538-4616
DOI:10.1111/j.1538-4616.2008.00115.x