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On the correspondence between data revision and trend-cycle decomposition
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 (Unpublished)
2012-01_Correspondence_Between_Data_Revision_and_Trend-Cycle_Deomposition_-_Dungey,_Jacobs,_Tian.pdf | Download (280kB)
Available under University of Tasmania Standard License.
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|
|Item Statistics:||View statistics for this item|
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