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On the correspondence between data revision and trend-cycle decomposition


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]

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Copyright 2013 Taylor & Francis

DOI: doi:10.1080/13504851.2012.697118


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
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS 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

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