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|Title:||Information in the revision process of real-time datasets |
Swanson, Norman R.
|Issue Date:||2011 |
|Series/Report no.:||Working Papers, Department of Economics, Rutgers, the State University of New Jersey 2011,07|
|Abstract:||Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties.Additionally, we carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, we find evidence against data rationality for output and prices, but not for money.|
generically comprehensive tests
|Document Type:||Working Paper|
|Appears in Collections:||Working Papers, Department of Economics, Rutgers University|
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