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Federal Reserve Bank of Philadelphia
Working Papers
Analyzing data revisions with a dynamic stochastic general equilibrium model
Dean Croushore
Keith Sill
Abstract

We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data approximate final data and on how policy makers might condition their view of the preliminary data when formulating policy actions. The results suggest that monetary policy shocks and multifactor productivity shocks lead to predictable revisions to the initial release data on output growth and inflation.


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Dean Croushore & Keith Sill, Analyzing data revisions with a dynamic stochastic general equilibrium model, Federal Reserve Bank of Philadelphia, Working Papers 14-29, 23 Sep 2014.
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Keywords: Real-time data; DSGE models; Bayesian analysis; Data revisions
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