Jacobs, Jan P. A. M.; Sarferaz, Samad; Norden, Simon van; … - Centre Interuniversitaire de Recherche en Analyse des … - 2013
Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of … identities. This paper extends the Jacobs and van Norden (2011) modeling framework to multivariate data revisions. We consider …