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On the correspondence between data revision and trend-cycle decomposition created by Mardi Dungey, Jan Jacobs, Jing Tian and Simon van Norden

By: Contributor(s): Material type: TextTextSeries: Applied economics letters ; Volume 20, number 4New York: Taylor and Francis, 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 13504851
Subject(s): LOC classification:
  • HB1.A666 APP
Online resources: 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.
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Holdings
Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HB1.A666 APP (Browse shelf(Opens below)) Vol. 20, no.4 (pages 316-319) SP17976 Not for loan For in house use only

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.

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