Dungey, Mardi; Jacobs, Jan; Tian, Jing; van Norden, Simon - School of Economics and Finance, Tasmanian School of … - 2012
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...