Dungey, Mardi; Jacobs, Jan PAM; Tian, Jing; Norden, … - Crawford School of Public Policy, Australian National … - 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...