Information in the revision process of real-time datasets

Corradi, V, Fernandez, A and Swanson, NR (2009) Information in the revision process of real-time datasets Journal of Business and Economic Statistics, 27 (4). pp. 455-467.

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Abstract

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties. Additionally, we carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, we find evidence against data rationality for output and prices, but not for money. © 2009 American Statistical Association.

Item Type:	Article
Authors :	Name Email ORCID Corradi, V v.corradi@surrey.ac.uk Fernandez, A Swanson, NR
Date :	19 October 2009
DOI :	10.1198/jbes.2009.07209
Depositing User :	Symplectic Elements
Date Deposited :	16 May 2017 15:27
Last Modified :	16 Jan 2019 17:31
URI:	http://epubs.surrey.ac.uk/id/eprint/819744

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