Modeling Multivariate Data Revisions

46 Pages Posted: 22 Dec 2013

See all articles by Jan P. A. M. Jacobs

Jan P. A. M. Jacobs

University of Groningen - Faculty of Economics and Business

Samad Sarferaz

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

Jan-Egbert Sturm

KOF Swiss Economic Institute, ETH Zurich; CESifo (Center for Economic Studies and Ifo Institute)

Simon van Norden

HEC Montreal - Department of Finance; CIRANO; University of Montreal - Center for Interuniversity Research in Econometrics

Date Written: November 20, 2013

Abstract

Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statistical agencies may face in producing estimates consistent with accounting identities. This paper extends the Jacobs and van Norden (2011) modeling framework to multivariate data revisions. We consider systems of variables, where true values and news and noise can be correlated, and which may be linked by one or more identities. We show how to model such systems with standard linear state space models. We motivate and illustrate the multivariate modeling framework with Swiss current account data using Bayesian econometric methods for estimation and inference.

Keywords: data revisions, state space form, linear constraints, correlated shocks, Bayesian econometrics, current account statistics, Switzerland

JEL Classification: C22, C53, C82

Suggested Citation

Jacobs, Jan P.A.M. and Sarferaz, Samad and Sturm, Jan-Egbert and van Norden, Simon, Modeling Multivariate Data Revisions (November 20, 2013). CIRANO - Scientific Publication No. 2013s-44. Available at SSRN: https://ssrn.com/abstract=2370456 or http://dx.doi.org/10.2139/ssrn.2370456

Jan P.A.M. Jacobs

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Samad Sarferaz

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich ( email )

Zürichbergstrasse 18
Zurich, 8092
Switzerland

Jan-Egbert Sturm

KOF Swiss Economic Institute, ETH Zurich ( email )

Zurich
Switzerland

HOME PAGE: http://www.kof.ethz.ch

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, 81679
Germany

HOME PAGE: http://www.cesifo.de

Simon Van Norden (Contact Author)

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6781 (Phone)
514-340-5632 (Fax)

HOME PAGE: http://svannorden.org

CIRANO ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

HOME PAGE: http://svannorden.org

University of Montreal - Center for Interuniversity Research in Econometrics ( email )

C.P. 6128, Succursale Centre-ville
Montreal, Quebec H3C 3J7
Canada

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