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Data Revisions Are Not Well Behaved


  • This paper is based on the first chapter of my dissertation completed at the Department of Economics, University of Pennsylvania. I gratefully acknowledge financial support from the Department of Economics of the University of Pennsylvania through the Maloof Family Dissertation Fellowship. I would like to thank Frank Diebold, Jesús Fernández-Villaverde, Dirk Krueger, and Frank Schorfheide for their guidance and the following people for helpful discussions at various stages of this project: Michael Brandt, Sean Campbell, Sanjay Chugh, Dean Croushore, and Clara Vega. I also would like to thank Ken West (the editor) and two anonymous referees for helpful comments. None of those thanked are responsible for errors. Additional material is available at


We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts.