Ain't Behavin': Forecast Errors and Measurement Errors in Early GNP Estimates
区分了早期GNP估计修订中的测量误差和预测误差,用广义矩估计法检验美国GNP修订数据,发现快速、15天和45天估计行为不当,但75天估计满足良好行为标准。
Revisions of the early GNP estimates may contain elements of measurement errors as well as forecast errors. These types of error behave differently but need to satisfy a common set of criteria for well-behavedness. This article tests these criteria for U.S. GNP revisions. The tests are similar to tests of rationality and are based on the generalized method of moments estimator. The flash, 15-day, and 45-day estimates are found to be ill behaved, but the 75-day estimate satisfies the criteria for well-behavedness.