|
Activity Number:
|
320
|
|
Type:
|
Topic Contributed
|
|
Date/Time:
|
Tuesday, July 31, 2007 : 2:00 PM to 3:50 PM
|
|
Sponsor:
|
Business and Economics Statistics Section
|
| Abstract - #308902 |
|
Title:
|
Modeling Data Revisions: Measurement Error and Dynamics of 'True' Values
|
|
Author(s):
|
Jan Jacobs*+ and Simon van Norden
|
|
Companies:
|
University of Groningen and HEC Montreal
|
|
Address:
|
PO Box 800, Groningen, 9700 AV, Netherlands
|
|
Keywords:
|
real-time data analysis ; data revisions
|
|
Abstract:
|
Realistic modeling of data revisions can play an important role in policy formulation. A common way to model data revisions is to set up a state-space model with separate blocks for measurement errors and the dynamics of "true" values. However, empirical work suggests that measurement errors typically have much more complex dynamics than such models allow. This paper describes a state-space model with richer dynamics in these measurement errors, including the noise, news and spillover effects documented in this literature. The result is a unified and flexible framework that allows for more realism in the model of data revision and also allows analysis of optimal real-time estimation of trends and cycles in real time. We illustrate the application of this framework with an analysis of a real-time data set on U.S. real output.
|
