An empirical exploration of revisions in US national income aggregates

Siklos, Pierre L.

doi:10.1080/096031096334475

Cited by 13 publications

(10 citation statements)

References 23 publications

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“…In addition, we test whether revisions are predicted by contemporaneous values of the unemployment rate, the index of consumer sentiment from the University of Michigan's Survey Research Center, the 3-month Treasury bill interest rate, the 10-year Treasury note interest rate, and the change in Standard and Poor's index of 500 stock prices, all of which are available when the advance estimates for a given quarter are prepared. 19 Before presenting our results, we note some of the previous studies that consider the efficiency of provisional estimates of U.S. national income data, including Mankiw and Shapiro (1986), Mork (1987), Brodsky and Newbold (1994), Siklos (1996), Runkle (1998), and Faust, Rogers, and Wright (2000). 20 Our analysis extends this earlier work in several 21.…”

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confidence: 55%

“…This revision is positive, as we reported in our previous tables, and statistically significant. Previous studies have also found that provisional estimates systematically understate later estimates (Mork, 1987;Brodsky and Newbold, 1994;Siklos, 1996;Faust, Rogers, and Wright, 2000). However, this deviation from forecast efficiency may be of limited relevance for countercyclical policy because revisions to growth rates across the sample often flow through to estimates of potential output growth, leaving the output gap -the variable of greatest interest to policymakers -unchanged.…”

Section: Resultsmentioning

confidence: 91%

“…20 Our analysis extends this earlier work in several 21. For example, Mankiw and Shapiro (1986) considered the years 1975through 1982Mork (1987) analyzed data from 1974 to 1984; Brodsky and Newbold (1994) looked at the period 1978 to 1984, and Siklos (1996) examined data from 1975 through 1990. Runkle (1998) and Faust, Rogers and Wright (2000) use samples that are closer to ours, but they consider a more limited set of independent variables.…”

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confidence: 99%

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Do Provisional Estimates of Output Miss Economic Turning Points?

Dynan

Elmendorf

2001

FEDS

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Initial estimates of aggregate output and its components are based on very incomplete source data, so they may not fully capture shifts in economic conditions. In particular, if those estimates are based partly on trends in preceding quarters, one would expect to see provisional estimates overstating activity when actual output is decelerating and understating it when actual output is accelerating. We examine this issue using the Real Time Data Set for Macroeconomists, which contains contemporaneous estimates of GNP or GDP and its components beginning in the late 1960s, as well as financial-market information and other data. Our results indicate that provisional estimates do not fully capture accelerations and decelerations, suggesting some tendency for provisional estimates to miss economic turning points. We also consider the related question of whether better use of contemporaneous data could improve the quality of provisional estimates. We find that provisional estimates do not represent optimal forecasts of the current estimates, but that the improvement in forecast quality from including additional contemporaneous data appears to be quite small.

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confidence: 55%

Section: Resultsmentioning

confidence: 91%

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confidence: 99%

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Do Provisional Estimates of Output Miss Economic Turning Points?

Dynan

Elmendorf

2001

FEDS

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“…For example, (1) are the different vintages of data cointegrated and, if so, (2) are the revisions stationary? (These two are issues that have been considered before; see Patterson and Heravi (1991a,b) Siklos (1996), but only in a bivariate 3 rather than a multivariate framework and, in the case of the UK, for a very limited time span of data.) Despite the likely presumption that the answers to both of these questions is yes, there is evidence reported below that the answers for UK GNP are no; and in this case this implies that an earlier vintage of data does not predict a later vintage to within a non-stationary error.…”

Section: The Data Measurement Process For Uk Gnp 247mentioning

confidence: 99%

The data measurement process for UK GNP: stochastic trends, long memory, and unit roots

Patterson

2002

Journal of Forecasting

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Much published data is subject to a process of revision due, for example, to additional source data, which generates multiple vintages of data on the same generic variable, a process termed the data measurement process or DMP. This article is concerned with several interrelated aspects of the DMP for UK Gross National Product. Relevant questions include the following. Is the DMP well behaved in the sense of providing a single stochastic trend in the vector time series of vintages? Is one of the vintages of data, for example the 'final', the sole vintage generating the long-memory component? Does the multivariate framework proposed here add to the debate on the existence of a unit root in GNP? The likely implicit assumptions of users (that the DMP is well behaved and the final vintage is 'best') can be cast in terms of testable hypotheses; and we show that these 'standard' assumptions have not always been empirically founded.

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“…1 Patterson (1993) has investigated the properties of consumer expenditure data series in the UK. More recently, Siklos (1996) has used cointegration techniques primarily to examine the relationship between the early and latest versions of the national income statistics.…”

Section: Introductionmentioning

confidence: 99%

Data revisions and forecasting

Joutz¹,

Stekler²

1998

Applied Economics

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The relationship between two sets of GNP data, the earliest and the first revisions, is examined. This comparison enables us to determine whether the early numbers are valuable to forecasters. The analysis uses two methods. The first is based on a technique which has been used to evaluate whether financial and economic forecasts are valuable to the users. The second approach uses time series techniques. We conclude that revisions to the 15-day estimates that occur when the 45-day numbers are released are successful and that the 15-day numbers are useful to forecasters.

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An empirical exploration of revisions in US national income aggregates

Cited by 13 publications

References 23 publications

Do Provisional Estimates of Output Miss Economic Turning Points?

Do Provisional Estimates of Output Miss Economic Turning Points?

The data measurement process for UK GNP: stochastic trends, long memory, and unit roots

Data revisions and forecasting

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