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On the correspondence between data revision and trend-cycle decomposition
Citation
Dungey, M and Jacobs, JPAM and Tian, J and van Norden, S, On the correspondence between data revision and trend-cycle decomposition, Applied Economics Letters, 20, (4) pp. 312-315. ISSN 1350-4851 (2013) [Refereed Article]
Copyright Statement
Copyright 2013 Taylor & Francis
DOI: doi:10.1080/13504851.2012.697118
Abstract
This article 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.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | data revisions; state-space models; Kalman filter; Kalman smoother |
| Research Division: | Economics |
| Research Group: | Applied Economics |
| Research Field: | Financial Economics |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Fiscal Policy |
| Author: | Dungey, M (Professor Mardi Dungey) |
| Author: | Tian, J (Dr Jing Tian) |
| ID Code: | 80573 |
| Year Published: | 2013 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2012-11-02 |
| Last Modified: | 2014-10-10 |
| Downloads: | 0 |
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