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On the Correspondence between Data Revision and Trend-Cycle DecompositionMardi H. DungeyUniversity of Tasmania; Financial Research Network (FIRN) Jan P. A. M. JacobsUniversity of Groningen - Faculty of Economics and Business Jing TianUniversity of Tasmania; Financial Research Network (FIRN) Simon Van NordenHEC Montreal - Department of Finance March 2012 CAMA Working Paper No. 16/2012 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.
Number of Pages in PDF File: 12 Keywords: data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition JEL Classification: C22, C53, C82 working papers seriesDate posted: March 28, 2012Suggested CitationContact Information
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