On the Correspondence between Data Revision and Trend-Cycle Decomposition
CAMA Working Paper No. 16/2012
12 Pages Posted: 28 Mar 2012
Date Written: March 2012
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.
Keywords: data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition
JEL Classification: C22, C53, C82
Suggested Citation: Suggested Citation