Data Revisions are Not Well-Behaved

43 Pages Posted: 15 Nov 2005

See all articles by S. Borağan Aruoba

S. Borağan Aruoba

University of Maryland - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: October 2005


We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts. We also provide evidence that professional forecasters ignore this predictability.

Keywords: Forecasting, news and noise, real-time data, NIPA variables

JEL Classification: C22, C53, C82

Suggested Citation

Aruoba, S. Boragan, Data Revisions are Not Well-Behaved (October 2005). CEPR Discussion Paper No. 5271, Available at SSRN:

S. Boragan Aruoba (Contact Author)

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3508 (Phone)
301-405-3542 (Fax)

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