Dealing with Benchmark Revisions in Real‐Time Data: The Case of German Production and Orders Statistics*
研究非平稳实时数据中基准修订对修订分析和长期经济关系估计的影响，利用协整分析揭示数据年代差异并指导调整，以德国工业生产和订单数据为例验证理论。
Abstract Benchmark revisions in non‐stationary real‐time data may adversely affect the results of regular revision analysis and the estimates of long‐run economic relationships. Cointegration analysis can reveal the nature of vintage heterogeneity and guide the adjustment of real‐time data for benchmark revisions. Affine vintage transformation functions estimated by cointegration regressions are a flexible tool, whereas differencing and rebasing work well only under certain circumstances. Inappropriate vintage transformation may cause observed revision statistics to be affected by nuisance parameters. Using real‐time data of German industrial production and orders, the econometric techniques are exemplified and the theoretical claims are examined empirically.