Abstract

http://ssrn.com/abstract=1378499
 
 

References (34)



 


 



Dealing with Benchmark Revisions in Real-Time Data: The Case of German Production and Orders Statistics


Thomas Knetsch


Deutsche Bundesbank - Economics Department

Hans-Eggert Reimers


Hochschule Wismar

0000

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 2, pp. 209-235, April 2009

Abstract:     
Benchmark revisions in non-stationary real-time data may adversely affect the results of regular revision analysis and the estimates of long-run economic relationships. Cointegration analysis can reveal the nature of vintage heterogeneity and guide the adjustment of real-time data for benchmark revisions. Affine vintage transformation functions estimated by cointegration regressions are a flexible tool, whereas differencing and rebasing work well only under certain circumstances. Inappropriate vintage transformation may cause observed revision statistics to be affected by nuisance parameters. Using real-time data of German industrial production and orders, the econometric techniques are exemplified and the theoretical claims are examined empirically.

Number of Pages in PDF File: 27

Accepted Paper Series


Date posted: April 27, 2009  

Suggested Citation

Knetsch, Thomas and Reimers, Hans-Eggert, Dealing with Benchmark Revisions in Real-Time Data: The Case of German Production and Orders Statistics (0000). Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 2, pp. 209-235, April 2009. Available at SSRN: http://ssrn.com/abstract=1378499 or http://dx.doi.org/10.1111/j.1468-0084.2008.00522.x

Contact Information

Thomas Knetsch (Contact Author)
Deutsche Bundesbank - Economics Department ( email )
Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany
Hans-Eggert Reimers
Hochschule Wismar ( email )
FB Wirtschaft
Philipp-Mueller-Str. PF 1210
23952 Wismar
Germany
49-3841-753-601 (Phone)
49-3841-753-383 (Fax)
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