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
Authors:	Dungey, Mardi H.
Other Persons:	Jacobs, Jan (contributor) ; Tian, Jing (contributor) ; Van Norden, Simon (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Dekompositionsverfahren \| Decomposition method \| Theorie \| Theory \| Zustandsraummodell \| State space model

Extent:	1 Online-Ressource (12 p)
Series:	CAMA Working Paper ; No. 16/2012
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2012 erstellt
Other identifiers:	10.2139/ssrn.2030058 [DOI]
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013108400