On the correspondence between data revision and trend-cycle decomposition
- 1 March 2013
- journal article
- research article
- Published by Taylor & Francis in Applied Economics Letters
- Vol. 20 (4) , 316-319
Abstract
This article places the data revision model of Jacobs and van Norden ( 2011) Jacobs, J. P. A. M. and van Norden, S. 2011. Modelling data revisions: measurement error and dynamics of “true” values. Journal of Econometrics, 161: 101–9. [Crossref], [Web of Science ®] [Google Scholar] 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
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