Abstract
Economic concepts, statistical methods, and variable classifications used to measure personal consumption expenditures (PCE) are regularly updated when they become obsolete for the evolving US economy. History is gradually rewritten and eventually lost because these structural revisions are applied retrospectively to historical data. We use data revisions to tease out novel empirical support for the conjecture of countercyclical equity risk premia. Latest-vintage PCE, a distorted measure of aggregate consumption risk, is significantly less informative about future stock market returns than real-time-vintage PCE. These results highlight the importance of using real-time data to test economic models.
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