Dungey, M.; Jacobs, J. P. A. M.; Tian, J.; Norden, S. van - In: Applied Economics Letters 20 (2013) 4, pp. 316-319
This article 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...
