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On the correspondence between data revision and trend-cycle decomposition

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

Applied Economics Letters, 2013, vol. 20, issue 4, 316-319

Abstract: This article 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.

Date: 2013
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Working Paper: On the correspondence between data revision and trend-cycle decomposition (2012) Downloads
Working Paper: On the correspondence between data revision and trend-cycle decomposition (2012) Downloads
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