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On the correspondence between data revision and trend-cycle decomposition

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Dungey, M, Jacobs, J, Tian, J and van Norden, S 2012 , On the correspondence between data revision and trend-cycle decomposition.

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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)
Authors/Creators:Dungey, M and Jacobs, J and Tian, J and van Norden, S
Keywords: data revisions, state-space models, Kalman lter, Kalman smoother, trend-cycle decomposition, repec
Publisher: University of Tasmania
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© University of Tasmania, Australia

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