Information in the Revision Process of Real-Time Datasets

Norman Swanson (), Valentina Corradi and Andrés Fernández Martin

Departmental Working Papers from Rutgers University, Department of Economics

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 that 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 evidence against data rationality for output and prices, but not for money

Keywords: bias; efficiency; generically comprehensive tests; rationality; final; and real-time data (search for similar items in EconPapers)
JEL-codes: C32 C53 E01 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2011-05-14
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Citations: View citations in EconPapers (5)

Published in Journal of Business and Economic Statistics, 27, 455-467

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http://www.sas.rutgers.edu/virtual/snde/wp/2011-07.pdf (application/pdf)

Related works:
Journal Article: Information in the Revision Process of Real-Time Datasets (2009)
Working Paper: Information in the revision process of real-time datasets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:201107

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