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On the correspondence between data revision and trend-cycle decomposition

Mardi Dungey (), Jan Jacobs (), Jing Tian () and Simon van Norden ()

No 12975, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

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.

Keywords: data revisions; state-space models; Kalman filter; Kalman smoother; trend-cycle decomposition (search for similar items in EconPapers)
JEL-codes: C22 C53 C82 (search for similar items in EconPapers)
Date: 2012-03-01, Revised 2012-03-01
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Published by the University of Tasmania. Discussion paper 2012-01

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http://eprints.utas.edu.au/12975/1/2012-01_Corresp ... C_Jacobs%2C_Tian.pdf

Related works:
Journal Article: On the correspondence between data revision and trend-cycle decomposition (2013) Downloads
Working Paper: On the correspondence between data revision and trend-cycle decomposition (2012) Downloads
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