Sources of error in economic time series

Abstract

This paper classifies and measures the major sources of error, uncertainty or noise in economic data, regarding such data as observations from stationary and non-stationary time series. Uncertainties due to seasonal adjustment, sampling, and transitory variation are studied, both as observable error (eventually removed from preliminary figures when they are revised) and as unobservable error (imbedded in both preliminary and final data). Correlations between different error sources are derived. The results are illustrated with U.S. money supply series.