Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?

Applied Economics Quarterly, Vol. 52, No. 4, pp. 337-356, 2006

Posted: 2 Aug 2007

See all articles by Ard den Reijer

Ard den Reijer

Sveriges Riksbank - Monetary Policy

Olivier Roodenburg

Hewitt Associates

Abstract

This paper examines whether the preliminary releases of GDP incorporate efficiently all available information or whether the preliminary estimates contain information that can be useful in predicting forthcoming GDP data revisions. Forecast rationality tests are applied to distinguish between these two characterisations. We analyse the revision over three horizons: the very short term revision after one quarter, the short-term revision after two years and the long-term revision. We find evidence of predictability for all short- and long-term revisions of Dutch GDP data. Our evidence for the revisions of the seasonally adjusted quarter-on-quarter growth rates are in line with the findings of G7 countries. Moreover, we analyse the revisions of the six expenditure components and ten prodcution components that constitute GDP. Only the preliminary releases of household consumption and the construction sector seem to explain the GDP data revisions. However, the general conclusion is that the forecast rationality hypothesis is rejected for almost all components separately, while almost no individual component's preliminary data release can forecast the revision of GDP.

Keywords: real-time data, GDP data revision, forecast efficiency

JEL Classification: C12, C13, C22, C53

Suggested Citation

den Reijer, Ard and Roodenburg, Olivier, Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?. Applied Economics Quarterly, Vol. 52, No. 4, pp. 337-356, 2006, Available at SSRN: https://ssrn.com/abstract=1003915

Ard den Reijer (Contact Author)

Sveriges Riksbank - Monetary Policy ( email )

SE-103 37 Stockholm
Sweden

Olivier Roodenburg

Hewitt Associates ( email )

New York, NY 10018
United States

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