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On the correspondence between data revision and trend-cycle decomposition

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Dungey, M and Jacobs, J and Tian, J and van Norden, S (2012) On the correspondence between data revision and trend-cycle decomposition. Discussion Paper. University of Tasmania. (Unpublished)

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Abstract

This paper 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 Type: Report (Discussion Paper)
Keywords: data revisions, state-space models, Kalman lter, Kalman smoother, trend-cycle decomposition, repec
Publisher: University of Tasmania
Additional Information: © University of Tasmania, Australia
Date Deposited: 27 Apr 2012 06:21
Last Modified: 18 Nov 2014 04:29
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