Rational economic data revisions

Piet De Jong*

*Corresponding author for this work

Research output: Contribution to journalArticle

10 Citations (Scopus)

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 languageEnglish
Pages (from-to)539-548
Number of pages10
JournalJournal of Business and Economic Statistics
Volume5
Issue number4
DOIs
Publication statusPublished - 1987
Externally publishedYes

Keywords

  • Economic indicators
  • Rational revisions
  • State-space models

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