Tierney, Heather L.R. (2010): Real-Time Data Revisions and the PCE Measure of Inflation.
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This paper tracks data revisions in the Personal Consumption Expenditure using the exclusions-from-core inflation persistence model. Keeping the number of observations the same, the regression parameters of earlier vintages of real-time data, beginning with vintage 1996:Q1, are tested for coincidence against the regression parameters of the last vintage of real-time data used in this paper, which is vintage 2008:Q2 in a parametric and two nonparametric frameworks. The effects of data revisions are not detectable in the vast majority of cases in the parametric model, but the flexibility of the two nonparametric models is able to utilize the data revisions.
|Item Type:||MPRA Paper|
|Original Title:||Real-Time Data Revisions and the PCE Measure of Inflation|
|Keywords:||Real-Time Data, Inflation Persistence, Nonparametrics, Monetary Policy, In-Sample Forecasting|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Heather L.R. Tierney|
|Date Deposited:||12. Feb 2010 03:49|
|Last Modified:||17. Feb 2013 18:17|
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