Modeling data revisions: measurement error and dynamics of ``true values

DOI10.1016/j.jeconom.2010.04.010zbMath1441.62751OpenAlexW2133497347MaRDI QIDQ530585

Simon van Norden, Jan P. A. M. Jacobs

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.04.010

zbMATH Keywords

data revisionsreal-time analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Data revisions and DSGE models ⋮ Measurement errors and monetary policy: then and now ⋮ Selection of an estimation window in the presence of data revisions and recent structural breaks ⋮ Multivariate singular spectrum analysis for forecasting revisions to real-time data ⋮ Measuring the effects of expectations shocks ⋮ Multi‐step forecasting in the presence of breaks ⋮ A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation ⋮ Improving GDP measurement: a measurement-error perspective ⋮ Revisions in official data and forecasting

Cites Work

• Dynamic structural systems under indirect observation: Identifiability and estimation aspects from a system theoretic perspective
• Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors
• The Identification and Parameterization of Armax and State Space Forms
• The Identification Problem for Multiple Equation Systems with Moving Average Errors
• A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption
• A real-time data set for macroeconomists
• Unnamed Item
• Unnamed Item

This page was built for publication: Modeling data revisions: measurement error and dynamics of ``true values