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Estimating time-variation in measurement error from data revisions : an application to forecasting in dynamic models

Kapetanios, George (contributor); Yates, Anthony (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002403100

Estimating time-variation in measurement error from data revisions : an application to forecasting in dynamic models

Kapetanios, George; Yates, Anthony - 2004

Persistent link: https://www.econbiz.de/10002434393

Estimating time variation in measurement error from data revisions : an application to backcasting and forecasting in dynamic models

Kapetanios, George; Yates, Anthony - In: Journal of applied econometrics 25 (2010) 5, pp. 869-893

Persistent link: https://www.econbiz.de/10008667439

Inference on stochastic time-varying coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - In: Journal of econometrics 179 (2014) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10010258276

Estimating Time-Variation in Measurement Error from Data Revisions; an Application to Forecasting in Dynamic Models

Kapetanios, George; Yates, Anthony - 2005

Over time, economic statistics are refined. This means that newer data are typically less well measured than old data. Time or vintage-variation in measurement error like this influences how forecasts should be made. Measurement error is obviously not directly observable. This paper shows that...

Persistent link: https://www.econbiz.de/10014066742