Modeling Data Revisions

Serie

• Borradores de economía

Resumen

• A dynamic linear model for data revisions and delays is proposed. This model extends Jacobs & Van Norden's [13] in two ways. First, the true data series is observable up to a fixed period of time M. And second, preliminary figures might be biased estimates of the true series. Otherwise, the model follows Jacobs & Van Norden's [13] so their gains are extended through the new assumptions. These assumptions represent the data release process more realistically under particular circumstances, and improve the overall identification of the model. An application to the year to year growth of the Colombian quarterly GDP reveals that preliminary growth reports under-estimate the true growth, and that measurement errors are predictable from the information available at the data release. The models implemented in this note help this purpose.

autores

• Julio, Juan Manuel

fecha de publicación

• 2011-02

Área temática

• C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
• C53 - Métodos de pronóstico y predicción; métodos de simulación
• C82 - Metodología de la recopilación, estimación y organización de datos macroeconómicos; análisis de los datos

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Data Revisions
• Now-Casting
• Real Time Economic Analysis

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.641

Issue

• 641