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On the correspondence between data revision and trend-cycle decomposition

  • Mardi Dungey

    ()

  • Jan PAM Jacobs

    ()

  • Jing Tian

    ()

  • Simon van Norden

    ()

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: https://cama.crawford.anu.edu.au/pdf/working-papers/2012/162012.pdf
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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. 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.
  2. 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, vol. 7(2), pages 151-174.
  3. Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
  4. 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 21/04, Monash University, Department of Econometrics and Business Statistics.
  5. Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 61-84.
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