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On the correspondence between data revision and trend-cycle decomposition
journal contribution
posted on 2023-05-17, 14:06 authored by Dungey, M, Jacobs, JPAM, Jing TianJing Tian, van Norden, SThis 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.
History
Publication title
Applied Economics LettersVolume
20Issue
4Pagination
312-315ISSN
1350-4851Department/School
TSBEPublisher
Routledge Taylor & Francis LtdPlace of publication
4 Park Square, Milton Park, Abingdon, England, Oxfordshire, Ox14 4RnRights statement
Copyright 2013 Taylor & FrancisRepository Status
- Restricted