Working Paper: CEPR ID: DP5271
Authors: Boragan Aruoba
Abstract: 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; NIPA variables; real-time data
JEL Codes: C22; C53; C82
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| revisions (Y20) | predictable (C53) |
| past revisions (Y20) | forecasting future revisions (C53) |
| mean of revisions (C59) | initial announcements are biased estimates of final values (C51) |
| variance of revisions (C59) | large compared to variance of original data series (C55) |