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.
| Original language | English |
|---|---|
| Pages (from-to) | 539-548 |
| Number of pages | 10 |
| Journal | Journal of Business and Economic Statistics |
| Volume | 5 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1987 |
| Externally published | Yes |
Keywords
- Economic indicators
- Rational revisions
- State-space models