Information in the Revision Process of Real-Time Datasets

This paper proposes two tests which instead have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties. Additionally, the authors carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, they find strong evidence against data rationality. Interestingly, for money stock the null is not rejected by linear tests but is rejected by the authors' tests.