Data Revisions and Periodic Properties of Macroeconomic Data

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Abstract

Many macroeconomic time series variables show signs of periodicity, that is, seasonal heteroskedasticity and seasonally varying autocorrelation structures. This paper argues that these periodic properties could in part be due to data revisions in case such revisions follow a particular format. Periodicity is shown to appear when quarterly data are revised by allocating updated annual information across the quarters in previous years. An illustration for four waves of seventeen Dutch macroeconomic data emphasizes this result.
Original languageEnglish
Pages (from-to)139-141
Number of pages4
JournalEconomics Letters
Volume120
DOIs
Publication statusPublished - 2013

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