Data Revisions are not Well-Behaved
S. Boragan Aruoba
,
2
(
40
)
Journal of Money, Credit and Banking
319-340
March
2008
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.