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2013 | nr 2 | 18
Tytuł artykułu

End-of-sample vs. real time data : perspectives for analysis of expectations

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Data revision is defined as an adjustment published after the initial announcement had been made; it may reflect rectification of errors, availability of new information, etc. When economists use a database, they may not even be aware that some of the values have been revised, perhaps repeatedly, and corrected numbers may significantly differ from original ones. I propose to test whether including information on data revisions helps to model properties of expectations, improve quantification procedures, or adjust tests of rationality to data vintage. (original abstract)
Rocznik
Numer
Strony
18
Opis fizyczny
Twórcy
  • Szkoła Główna Handlowa w Warszawie
Bibliografia
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  • Cimadomo J. (2011) Real-time data and fiscal policy analysis: a survey of the literature, ECB Working Paper Series No 1408.
  • Clements M. P., Galvão A. B. (2010) Real-time forecasting of inflation and output growth in the presence of data revisions, presented at the Federal Reserve Bank of Philadelphia Conference, 18-19.10.2010, Philadelphia.
  • Clements M. P., Galvão A. B. (2011) Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models, Department of Economic Working Paper No. 678, Queen Mary University of London.
  • Conrad W., Corrado C. (1979) Application of the Kalman filter to revisions in monthly retail sales estimates, Journal of Economic Dynamics and Control 1:177-198.
  • Croushore D. (2006) Forecasting with real-time macroeconomic data, w: G. Elliott, C. W. J. Granger, A. Timmermann (red.) Handbook of Economic Forecasting. Volume I, Elsevier B.V., Amsterdam, s. 961-982.
  • Croushore D. (2011). Frontiers of real-time data analysis, Journal of Economic Literature 49:72-100.
  • Croushore D., Stark T. (2001) A real-time data set for macroeconomists, Journal of Econometrics 105:111-130.
  • Croushore D., Stark T. (2003) A real-time data set for macroeconomists: Does the data vintage matter?, The Review of Economics and Statistics 85:605-617.
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  • Golinelli R., Momigliano S. (2006) Real-time determinants of fiscal policies in the Euro area, Journal of Policy Modeling 28:943-964.
  • Gollinelli R., Parigi G. (2007) GDP forecasting with real-time data, presentation at the 27th Annual International Symposium on Forecasting, New York.
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  • Jacobs J. P. A. M., Sturm J.-E., van Norden S. (2010) Modeling multivariate data revisions, presentation at the 30th CIRET Conference in New York.
  • Jacobs J. P. A. M., van Norden S. (2010) Modeling data revisions: Measurement error and the dynamics of "true" values, "Journal of Econometrics" (doi:10.1026/j.jeconom. 2010.04.010).
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  • McKenzie R. (2006) Undertaking revisions and real-time data analysis using the OECD main economic indicators original release data and revisions, OECD Statistics Working Paper STD/DOC(2006)2; http://search.oecd.org/ officialdocuments/displaydocumentpdf/ ?doclanguage= en&cote=std/doc(2006)2.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231073

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