On the correspondence between data revision and trend-cycle decomposition
AbstractThis 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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Bibliographic InfoPaper 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.
Length: 12 pages
Date of creation: Mar 2012
Date of revision:
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Other versions of this item:
- M. Dungey & J. P. A. M. Jacobs & J. Tian & S. van Norden, 2013. "On the correspondence between data revision and trend-cycle decomposition," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(4), pages 316-319, March.
- Dungey, Mardi & Jacobs, Jan & Tian, Jing & van Norden, Simon, 2012. "On the correspondence between data revision and trend-cycle decomposition," Working Papers, University of Tasmania, School of Economics and Finance 12975, University of Tasmania, School of Economics and Finance, revised 01 Mar 2012.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
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- 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.
- Chin Nam Low & Heather Anderson & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society 242, Econometric Society.
- Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 21/04, Monash University, Department of Econometrics and Business Statistics.
- 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.
- Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(1), pages 61-84.
- 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.
- 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.
- 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).
- 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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