Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194018 
Year of Publication: 
2018
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series No. 1/2018
Publisher: 
Hamburg University, Department Socioeconomics, Hamburg
Abstract: 
This study investigates the predictability of revisions to Euro-area major macroeconomic variables using real-time data from the European Central Bank. The application of nonparametric and semiparametric tests enables robust conclusions about the predictability of revisions. Though there is wide evidence of the nonnormality of the distribution function of revision errors, this is the first application of the nonparametric approach to examine revisions. Moreover, to gain robustness, this study performs tests for parameter instability, and includes structural breaks explicitly in the predictability evaluation. The results underline the predictability of Euro area key macroeconomic revisions. Revisions are inefficient and biased, and revision errors are not optimal forecast errors.
Subjects: 
revision
revision errors
predictability
real-time data
Euro area
unbiasedness
efficiency
news
noise
JEL: 
C8
D80
Document Type: 
Working Paper

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