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)
Pages: 10 pages
Date: 2012-03-01, Revised 2012-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published by the University of Tasmania. Discussion paper 2012-01

Downloads: (external link)
http://eprints.utas.edu.au/12975/1/2012-01_Corresp ... C_Jacobs%2C_Tian.pdf
Our link check indicates that this URL is bad, the error code is: 401 Unauthorized (http://eprints.utas.edu.au/12975/1/2012-01_Correspondence_Between_Data_Revision_and_Trend-Cycle_Deomposition_-_Dungey%2C_Jacobs%2C_Tian.pdf [302 Moved Temporarily]--> https://eprints.utas.edu.au/12975/1/2012-01_Correspondence_Between_Data_Revision_and_Trend-Cycle_Deomposition_-_Dungey%2C_Jacobs%2C_Tian.pdf)

Related works:
Journal Article: On the correspondence between data revision and trend-cycle decomposition (2013)
Working Paper: On the correspondence between data revision and trend-cycle decomposition (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:12975

Access Statistics for this paper

More papers in Working Papers from University of Tasmania, Tasmanian School of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oscar Pavlov ().