On the correspondence between data revision and trend-cycle decomposition

Vol: 
16/2012
Author name: 
Dungey M
Jacobs JPAM
Tian J
vanNorden S
Year: 
2012
Month: 
March
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.

Updated:  19 April 2024/Responsible Officer:  Crawford Engagement/Page Contact:  CAMA admin