Resource title

How to treat benchmark revisions? The case of German production and orders statistics

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image for OpenScout resource :: How to treat benchmark revisions? The case of German production and orders statistics

Resource description

Elements of an econometric examination of benchmark revisions in real-time data are suggested. Structural break tests may be applied to detect heterogeneities within vintages. Systems cointegration tests are helpful to reveal inconsistencies across vintages. Differencing and rebasing, often used to adjust for benchmark revisions, are generally not sufficient to ensure consistent real-time macroeconomic data. Vintage transformation functions estimated by cointegrating regressions are more flexible. Inappropriate conversion may cause observed revision statistics to be affected by nuisance parameters. In German industrial production and orders statistics, remaining revisions are generally biased and serially correlated.

Resource author

Thomas A. Knetsch, Hans-Eggert Reimers

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19667

Resource license

Adapt according to the presented license agreement and reference the original author.