Information in the Revision Process of Real-Time Datasets

28 Pages Posted: 30 Oct 2008

See all articles by Valentina Corradi

Valentina Corradi

University of Warwick - Department of Economics

Andrés Fernández Martin

Universidad de los Andes, Colombia

Norman R. Swanson

Rutgers University - Department of Economics; Rutgers, The State University of New Jersey - Department of Economics

Date Written: October 1, 2008

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 which instead 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 strong evidence against data rationality. Interestingly, for money stock the null is not rejected by linear tests but is rejected by our tests.

Keywords: bias, efficiency, generically comprehensive tests, rationality

JEL Classification: C32, C53, E01, E37, E47

Suggested Citation

Corradi, Valentina and Martin, Andres Fernandez and Swanson, Norman Rasmus and Swanson, Norman Rasmus, Information in the Revision Process of Real-Time Datasets (October 1, 2008). FRB of Philadelphia Working Paper No. 08-27, Available at SSRN: https://ssrn.com/abstract=1291759 or http://dx.doi.org/10.2139/ssrn.1291759

Valentina Corradi (Contact Author)

University of Warwick - Department of Economics ( email )

Coventry CV4 7AL
United Kingdom

Andres Fernandez Martin

Universidad de los Andes, Colombia ( email )

Carrera Primera # 18A-12
Bogota, DC D.C. 110311
Colombia
5713394949 ext 4498 (Phone)

HOME PAGE: http://economia.uniandes.edu.co/profesores/planta/Fernandez_Andres

Norman Rasmus Swanson

Rutgers, The State University of New Jersey - Department of Economics ( email )

75 Hamilton Street
New Brunswick, NJ 08901
United States
848-932-7432 (Phone)

HOME PAGE: http://econweb.rutgers.edu/nswanson/

Rutgers University - Department of Economics ( email )

NJ
United States

HOME PAGE: http://econweb.rutgers.edu/nswanson/

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