Information in the revision process of real-time datasets
Corradi, Valentina, Fernandez, Andres and Swanson, Norman R.. (2009) Information in the revision process of real-time datasets. Journal of Business and Economic Statistics, Vol.27 (No.4). pp. 455-467. ISSN 0735-0015Full text not available from this repository.
Official URL: http://dx.doi.org/10.1198/jbes.2009.07209
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.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HC Economic History and Conditions
H Social Sciences
Q Science > QA Mathematics
|Divisions:||Faculty of Social Sciences > Economics|
|Journal or Publication Title:||Journal of Business and Economic Statistics|
|Publisher:||Americal Statistical Association|
|Number of Pages:||13|
|Page Range:||pp. 455-467|
|Access rights to Published version:||Restricted or Subscription Access|
|Funder:||Economic and Social Research Council (Great Britain) (ESRC), Rutgers University Research Council|
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