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2015 | 4 (50) | 184-195

Article title

Rationality of expectations and data vintage: evidence from business tendency surveys

Authors

Content

Title variants

PL
Racjonalność oczekiwań a rocznik danych: wyniki z testu koniunktury

Languages of publication

PL EN

Abstracts

EN
In this paper, the results of the quantification procedures and the properties of expectations series obtained for two data vintages are compared. The 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 shows that (1) there are no statistically significant differences between the quantification results obtained on the basis of real time and end-of-sample data, and (2) the results of unbiasedness and orthogonality tests are not influenced by data vintage. Therefore, for the purposes of analyzing the properties of expectations expressed in the business tendency survey, researchers can use easily available end-of-sample data instead of custom-designed and individually compiled real time databases. Also, (3) expectations series are not unbiased or efficient forecasts of changes in production, regardless of data vintage.

Contributors

References

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  • Tomczyk E., 2011, Oczekiwania w ekonomii. Idea, pomiar, analiza, Oficyna Wydawnicza SGH, Warszawa.
  • Tomczyk E., 2013, End-of-sample vs. real Time Data: Perspectives for Analysis of Expectations, [in:] Walczyk K. (ed.), Expectations and Forecasting, Prace i Materiały Instytutu Rozwoju Gospodarczego SGH no. 93, Warsaw School of Economics, pp. 45-69.
  • Tomczyk E., 2014, Influence of data vintage on quantification of expectations, Applied Econometrics Papers, no. 14-04.
  • Tomczyk E., 2015, Quantification of expectations for general economic situation with data revisions, paper presented at the CIRET/KOF/RIED SGH Workshop on Economic Cycles and Uncertainty, October 2015, Warsaw; accepted for publication in Prace i Materiały Instytutu Rozwoju Gospodarczego SGH, Warsaw School of Economics.

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-4a291d4a-78c7-4f16-829d-8c729d94f7de
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