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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 |
| Additional Information: | © University of Tasmania, Australia |
| Item Statistics: | View statistics for this item |
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