Data vintage in testing properties of expectations

• Autorzy: Emilia Tomczyk
• Języki publikacji: EN

Abstrakty

EN

In this paper, results of quantification procedures and properties of expectations series obtained for two data vintages are described. Volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis confirms that while there are only minor differences in quantification results with respect to data vintage, properties of expectations time series obtained on their basis do diverge. Specifically, there exists a cointegrating regression for one of the vintages only, that is, end-of-sample data. In this case, expectations and observed changes in industrial production exhibit similar long-run properties. Neither of the expectations series, however, constitutes prediction of changes in production that is unbiased or employs available information efficiently. (original abstract)

Słowa kluczowe

EN

Databases; Quantitative methods in economics; Time-series; Expectations; Quantification procedures

PL

Bazy danych; Metody ilościowe w ekonomii; Szeregi czasowe; Oczekiwania; Ujęcie ilościowe

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2015
• Numer: nr 2
• Strony: 29

Twórcy

autor

Emilia Tomczyk

• Warsaw School of Economics, Poland

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