Title:

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

Group publication title:

Ekonometria = Econometrics

Title in english:

Racjonalność oczekiwań a rocznik danych: wyniki z testu koniunktury

Creator:

Tomczyk, Emilia

Subject and Keywords:

data revisions ; survey data ; quantification ; expectations ; rationality ; rewizje danych ; dane ankietowe ; kwantyfikacja ; oczekiwania ; racjonalność

Description:

Ekonometria = Econometrics, 2015, Nr 4 (50), s. 184-195

Abstrakt:

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.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2015

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2015.4.12

Language:

eng

Relation:

Ekonometria = Econometrics, 2015, Nr 4 (50)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu