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

• Authors: Tomczyk Emilia

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.

Keywords

EN

data revisions; survey data; quantification; expectations; rationality

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2015
• Issue: 4 (50)
• Pages: 184-195

Contributors

author

Tomczyk Emilia

References

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