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 (Unpublished)

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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)
Additional Information:	© University of Tasmania, Australia
Keywords:	data revisions, state-space models, Kalman lter, Kalman smoother, trend-cycle decomposition, repec
ID Code:	12975
Deposited By:	Dr V Alexeev
Deposited On:	27 Apr 2012 16:21
Last Modified:	27 Nov 2012 13:06
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