Jacobs, Jan P.A.M.; van Norden, Simon - In: Journal of Econometrics 161 (2011) 2, pp. 101-109
modeling of data revisions is required to guide decision makers in their assessment of current and future conditions. This … paper provides a new framework with which to model data revisions. Recent empirical work suggests that measurement errors … typically have much more complex dynamics than existing models of data revisions allow. This paper describes a state-space model …