Dealing with Benchmark Revisions in Real-Time Data: The Case of German Production and Orders Statistics
Deutsche Bundesbank - Economics Department
Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 2, pp. 209-235, April 2009
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: 27Accepted Paper Series
Date posted: April 27, 2009
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