Logo
Munich Personal RePEc Archive

Real-Time Data Revisions and the PCE Measure of Inflation

Tierney, Heather L.R. (2010): Real-Time Data Revisions and the PCE Measure of Inflation.

[thumbnail of MPRA_paper_22387.pdf]
Preview
PDF
MPRA_paper_22387.pdf

Download (268kB) | Preview

Abstract

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.