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On the correspondence between data revision and trend-cycle decomposition

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

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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.

JEL-codes: C22 C53 C82 (search for similar items in EconPapers)
Date: 2012-03
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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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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2012-16

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