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On the correspondence between data revision and trend-cycle decomposition

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  • Mardi Dungey

    ()

  • Jan PAM Jacobs

    ()

  • Jing Tian

    ()

  • Simon van Norden

    ()

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.

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File URL: http://cama.crawford.anu.edu.au/pdf/working-papers/2012/162012.pdf
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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2012-16.

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Length: 12 pages
Date of creation: Mar 2012
Date of revision:
Handle: RePEc:een:camaaa:2012-16

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  1. Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph, 2006. "Single source of error state space approach to the Beveridge Nelson decomposition," Economics Letters, Elsevier, Elsevier, vol. 91(1), pages 104-109, April.
  2. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 101-109, April.
  3. Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(1), pages 61-84.
  4. Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, Elsevier, vol. 75(1), pages 123-127, March.
  5. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, Elsevier, vol. 7(2), pages 151-174.
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Cited by:
  1. Norden, Simon van & Tian, Jing & Jacobs, Jan & Dungey, Mardi, 2012. "On trend-cycle decomposition and data revision," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  2. Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers, CIRANO 2013s-44, CIRANO.

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