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Identify the First Efficient Release in Vintage Data

Source: R/revisions.R
get_first_efficient_release.Rd

Identifies the first release in a sequence of vintages that is "efficient" relative to the final release. A release is deemed efficient if it satisfies specific conditions of unbiasedness and efficiency, tested using a Mincer-Zarnowitz type linear regression and hypothesis testing.

Usage

get_first_efficient_release(
  df,
  final_release,
  significance = 0.05,
  test_all = FALSE
)

Arguments

df

A data frame of class tbl_release containing the vintage data. It must include the columns:

  • time: The reference period (e.g., quarter or month).

  • value: The observed value for the given release.

  • release: The release number or identifier.

final_release

A data frame containing the final release data. This must include the columns:

  • time: The reference period.

  • value: The observed final value for the given period.

significance

A numeric value specifying the significance level for the hypothesis test (default is 0.05).

test_all

A logical value indicating whether to test all releases, even after finding the first efficient release (default is FALSE).

Value

A list of class list_eff_rel with the following elements:

  • e: The index of the first efficient release. (0 indexed)

  • data: A long-format data frame containing the vintage data with the final release appended.

  • models: A list of linear regression models fitted for each release.

  • tests: A list of hypothesis test results for each release.

Details

The function performs the following steps:

  1. Validates inputs and ensures both df and final_release are in the correct format.

  2. Iteratively tests each release for efficiency using a linear regression model of the form: $$final = \beta_0 + \beta_1 \cdot release_i + \epsilon$$ The null hypothesis for efficiency is:

    • \(\beta_0 = 0\) (no bias)

    • \(\beta_1 = 1\) (efficiency) Uses heteroskedasticity and autocorrelation consistent (HAC) standard errors for robust hypothesis testing.

  3. Stops testing when the first efficient release is found (unless test_all = TRUE).

If no efficient release is found, a warning is issued.

References

Aruoba, S. Borağan, "Revisions Are Not Well Behaved", Journal of Money, Credit and Banking, 40(2-3), 319-340, 2008.

Examples

# Example data
df <- get_nth_release(
  tsbox::ts_pc(dplyr::filter(reviser::gdp, id=="US")),
  n = 0:3
  )

final_release <- get_nth_release(
tsbox::ts_pc(dplyr::filter(reviser::gdp, id=="US")),
n = 10
)

# Identify the first efficient release
result <- get_first_efficient_release(df, final_release, significance = 0.05)

# Access the index of the first efficient release
result$e
#> [1] 0