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 0735-0015

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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 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
ISSN:	0735-0015
Date:	October 2009
Volume:	Vol.27
Number:	No.4
Number of Pages:	13
Page Range:	pp. 455-467
Identification Number:	10.1198/jbes.2009.07209
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Funder:	Economic and Social Research Council (Great Britain) (ESRC), Rutgers University Research Council
Grant number:	RES-062-23-0311
URI:	http://wrap.warwick.ac.uk/id/eprint/17090

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