On the correspondence between data revision and trend-cycle decomposition

This paper places the data revision model of Jacobs and van Norden (2011) within a class of trend-cycle decompositions relating directly to the Beveridge-Nelson decomposition. In both these approaches identifying restrictions on the covariance matrix under simple and realistic conditions may produce a smoothed estimate of the underlying series which is more volatile than the observed series.

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Year of publication:	2012-03-01
Authors:	Dungey, Mardi ; Jacobs, Jan ; Tian, Jing ; van Norden, Simon
Institutions:	School of Economics and Finance, Tasmanian School of Business and Economics
Subject:	data revisions \| state-space models \| Kalman filter \| Kalman smoother \| trend-cycle decomposition

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published by the University of Tasmania. Discussion paper 2012-01 Number 12975 10 pages
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010835574