Many macroeconomic time series variables show signs of periodicity, that is, seasonal heteroskedasticity and seasonally varying autocorrelation structures. This paper argues that these periodic properties could in part be due to data revisions in case such revisions follow a particular format. Periodicity is shown to appear when quarterly data are revised by allocating updated annual information across the quarters in previous years. An illustration for four waves of seventeen Dutch macroeconomic data emphasizes this result.

Additional Metadata
Keywords periodicity , data revisions, seasonality
JEL Measurement and Data on National Income and Product Accounts (NIPA) and Wealth (jel E01)
Persistent URL dx.doi.org/10.1016/j.econlet.2013.04.014, hdl.handle.net/1765/40233
Series Econometric Institute Reprint Series
Journal Economics Letters
Citation
Franses, Ph.H.B.F. (2013). Data revisions and periodic properties of macroeconomic data. Economics Letters, 120(2), 139–141. doi:10.1016/j.econlet.2013.04.014