TY  - BOOK
AU  - Dungey,M.
AU  - Jacobs,J.P.A.M.
AU  - Tian,J.
AU  - van Norden,Simon
TI  - On the correspondence between data revision and trend-cycle decomposition
SN  - 13504851
AV  - HB1.A666 APP 
PY  - 2013///
CY  - New York
PB  - Taylor and Francis
KW  - Data revisions
KW  - State-space models
KW  - Kalman filter
N2  - 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
UR  - https://doi.org/10.1080/13504851.2012.697118
ER  -