A State Space Approach to Extracting the Signal From Uncertain Data
Most macroeconomic data are uncertain—they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper sets out an approach for extracting the signal from uncertain data. It describes a two-step estimation procedure in which the history of past revisions is first used to estimate the parameters of a measurement equation describing the official published estimates. These parameters are then imposed in a maximum likelihood estimation of a state space model for the macroeconomic variable.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 30 (2009)
Issue (Month): 2 (March)
|Contact details of provider:|| Web page: http://www.tandfonline.com/UBES20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/UBES20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald, Stephen G. & Whitney Newey, 1999.
"Choosing the Number of Instruments,"
99-05, Massachusetts Institute of Technology (MIT), Department of Economics.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- Kevin Lee & Emi Mise & Kalvinder Shields & Tony Garratt, 2005.
"Real time Representations of the Output Gap,"
Money Macro and Finance (MMF) Research Group Conference 2005
26, Money Macro and Finance Research Group.
- Richard Harrison & George Kapetanios & Tony Yates, 2004.
"Forecasting with measurement errors in dynamic models,"
Bank of England working papers
237, Bank of England.
- Harrison, Richard & Kapetanios, George & Yates, Tony, 2005. "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, vol. 21(3), pages 595-607.
- Yates, Tony & Richard Harrison & George Kapetanios, 2003. "Forecasting with measurement errors in dynamic models," Royal Economic Society Annual Conference 2003 225, Royal Economic Society.
- Richard Harrison & George Kapetanios & Tony Yates, 2004. "Forecasting with Measurement Errors in Dynamic Models," Working Papers 521, Queen Mary University of London, School of Economics and Finance.
- Patterson, K. D., 1994. "A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption," Economics Letters, Elsevier, vol. 46(3), pages 215-222, November.
- repec:cup:cbooks:9780521848053 is not listed on IDEAS
- George Kapetanios & Tony Yates, 2004.
"Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models,"
Bank of England working papers
238, Bank of England.
- George Kapetanios & Tony Yates, 2004. "Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models," Working Papers 520, Queen Mary University of London, School of Economics and Finance.
- Anthony Garratt & Shaun P Vahey, 2005.
"UK Real-Time Macro Data Characteristics,"
Birkbeck Working Papers in Economics and Finance
0502, Birkbeck, Department of Economics, Mathematics & Statistics.
- N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
- Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 193-200, May.
- Jan Jacobs & Jan-Egbert Sturm, 2007. "A real-time analysis of the Swiss trade account," Money Macro and Finance (MMF) Research Group Conference 2006 167, Money Macro and Finance Research Group.
- Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
When requesting a correction, please mention this item's handle: RePEc:taf:jnlbes:v:30:y:2009:i:2:p:173-180. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.