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Autor
Tomczyk Emilia (Warsaw School of Economics, Poland)
Tytuł
Data vintage in testing properties of expectations
Źródło
Applied Econometrics Papers, 2015, nr 2, 29 s., tab., bibliogr. 20 poz.
Słowa kluczowe
Bazy danych, Metody ilościowe w ekonomii, Oczekiwania, Ujęcie ilościowe, Szeregi czasowe
Databases, Quantitative methods in economics, Expectations, Quantification procedures, Time-series
Uwagi
summ.
Abstrakt
In this paper, results of quantification procedures and properties of expectations series obtained for two data vintages are described. Volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis confirms that while there are only minor differences in quantification results with respect to data vintage, properties of expectations time series obtained on their basis do diverge. Specifically, there exists a cointegrating regression for one of the vintages only, that is, end-of-sample data. In this case, expectations and observed changes in industrial production exhibit similar long-run properties. Neither of the expectations series, however, constitutes prediction of changes in production that is unbiased or employs available information efficiently. (original abstract)
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Bibliografia
Pokaż
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  6. Da Silva Lopes A.C.B. (1998) On the 'restricted cointegration test' as a test of the rational expectations hypothesis, "Applied Economics", 30:269-278.
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  9. Liu P. C., Maddala G. S. (1992) Rationality of survey data and tests for market efficiency in the foreign exchange markets, "Journal of International Money and Finance", 11:366-381.
  10. Maddala G. S., Kim I.-M. (1998) Unit Roots, Cointegration, and Structural Change, Cambridge University Press, Cambridge.
  11. Mehra Y. P. (2002) Survey Measures of Expected Inflation: Revisiting the Issues of Predictive Content and Rationality, "Federal Reserve Bank of Richmond Economic Quarterly", vol. 88/3.
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  14. Pesaran M. H. (1989) The Limits to Rational Expectations, Basil Blackwell, Oxford.
  15. Syczewska E. M. (2013) Wpływ aktualizacji danych makroekonomicznych bazy AMECO na dokładność prognoz [Influence of updates in AMECO macroeconomic database on forecast accuracy], Badania Statutowe nr KAE/S/07/13, KAE SGH, Warszawa.
  16. Thomas D.G. (1995) Output expectations within manufacturing industry, "Applied Economics", 27:403-408.
  17. Tomczyk E. (2011) Oczekiwania w ekonomii. Idea, pomiar, analiza [Expectations in Economics. Definitions, Measurement, Analysis], Oficyna Wydawnicza SGH, Warszawa.
  18. Tomczyk E. (2013) End-of-sample vs. real time data: perspectives for analysis of expectations, in: K. Walczyk (ed.) Expectations and Forecasting, "Prace i Materiały Instytutu Rozwoju Gospodarczego SGH" No 93, Warsaw School of Economics, p. 45-69.
  19. Tomczyk E. (2014) Influence of data vintage on quantification of expectations, "Applied Econometrics Papers", No 14-04.
  20. Zarnowitz V. (1985) Recent Work on Business Cycles in Historical Perspective: Review of Theories and Evidence, "NBER Working Paper" No. 1503.
Cytowane przez
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ISSN
2084-4573
Język
eng
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