Kiel Working Papers, Kiel Institute for World Economics
No 1753:
The Impact of Seasonal and Price Adjustments on the Predictability of German GDP Revisions
Jens Boysen-Hogrefe and Stefan Neuwirth
Abstract: Releases of the GDP are subject to revisions over time.
This paper examines the predictability of German GDP revisions using
forecast rationality tests. Previous studies of German GDP covering data
until 1997 finds that revisions of real seasonally adjusted GDP are
predictable. This paper uses a newly available real-time data to analyze
the revisions of real seasonal adjusted GDP, of nominal unadjusted GDP, of
the seasonal pattern, and of the GDP deflator for the period between 1992
and 2006. We find that the revisions of the nominal unadjusted GDP are
unpredictable, but that the revisions of the price adjustments are
predictable. Nevertheless, revisions of real seasonally adjusted GDP are
hardly predictable and less well predictable compared to earlier studies.
This lower predictability seems to be linked to the finding that revisions
of seasonal adjustments are hardly predictable, too, and that their
predictability decreased over time
Keywords: Real-time data, GDP revisions, noise, news, forecasting, seasonal adjustment, price adjustment; (follow links to similar papers)
JEL-Codes: C82; (follow links to similar papers)
37 pages, January 2012
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Downloadable files:
KWP_1753_pdf.pdf 
Download Statistics
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design Joakim Ekebom
