The Library
Information in the revision process of real-time datasets
Tools
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. doi:10.1198/jbes.2009.07209 ISSN 0735-0015.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1198/jbes.2009.07209
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 | ||||
Official Date: | October 2009 | ||||
Dates: |
|
||||
Volume: | Vol.27 | ||||
Number: | No.4 | ||||
Number of Pages: | 13 | ||||
Page Range: | pp. 455-467 | ||||
DOI: | 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 |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |