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Dealing with Benchmark Revisions in Real‐Time Data: The Case of German Production and Orders Statistics *
Author(s) -
Knetsch Thomas A.,
Reimers HansEggert
Publication year - 2009
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2008.00522.x
Subject(s) - vintage , benchmark (surveying) , econometrics , cointegration , economics , german , production (economics) , transformation (genetics) , statistics , industrial production , mathematics , macroeconomics , geography , biochemistry , chemistry , archaeology , geodesy , gene
Benchmark revisions in non‐stationary real‐time data may adversely affect the results of regular revision analysis and the estimates of long‐run economic relationships. Cointegration analysis can reveal the nature of vintage heterogeneity and guide the adjustment of real‐time data for benchmark revisions. Affine vintage transformation functions estimated by cointegration regressions are a flexible tool, whereas differencing and rebasing work well only under certain circumstances. Inappropriate vintage transformation may cause observed revision statistics to be affected by nuisance parameters. Using real‐time data of German industrial production and orders, the econometric techniques are exemplified and the theoretical claims are examined empirically.