Rational Economic Data Revisions |
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| Authors: | Piet de Jong |
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| Institution: | Faculty of Commerce and Business Administration , University of British Columbia , Vancouver , British Columbia , V6T 1Y8 , Canada |
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| Abstract: | The efficient handling of provisional economic time series data is considered. Procedures are justified in terms of a testable hypothesis regarding the nature of data revisions. The hypothesis leads to explicit and practical variance expressions for measurement errors. Testing and estimation issues are dealt with. An efficient dual filter is developed for recursive signal estimation. Techniques are applied to the Canadian index of production data. |
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| Keywords: | Economic indicators Rational revisions State-space models |
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