On the Correspondence between Data Revision and Trend-Cycle Decomposition

CAMA Working Paper No. 16/2012

12 Pages Posted: 28 Mar 2012

See all articles by Mardi H. Dungey

Mardi H. Dungey

University of Tasmania (deceased); Financial Research Network (FIRN) (deceased)

Jan P. A. M. Jacobs

University of Groningen - Faculty of Economics and Business

Jing Tian

University of Tasmania; Financial Research Network (FIRN)

Simon van Norden

HEC Montreal - Department of Finance; CIRANO; University of Montreal - Center for Interuniversity Research in Econometrics

Date Written: March 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.

Keywords: data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition

JEL Classification: C22, C53, C82

Suggested Citation

Dungey, Mardi H. and Jacobs, Jan P.A.M. and Tian, Jing and van Norden, Simon, On the Correspondence between Data Revision and Trend-Cycle Decomposition (March 2012). CAMA Working Paper No. 16/2012. Available at SSRN: https://ssrn.com/abstract=2030058 or http://dx.doi.org/10.2139/ssrn.2030058

Mardi H. Dungey

University of Tasmania (deceased)

Financial Research Network (FIRN) (deceased)

Jan P.A.M. Jacobs (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Jing Tian

University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Simon Van Norden

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada
514-340-6781 (Phone)
514-340-5632 (Fax)

HOME PAGE: http://svannorden.org

CIRANO ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

HOME PAGE: http://svannorden.org

University of Montreal - Center for Interuniversity Research in Econometrics ( email )

C.P. 6128, Succursale Centre-ville
Montreal, Quebec H3C 3J7
Canada

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