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Activity Number:
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320
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, July 31, 2007 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #309164 |
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Title:
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A State Space Approach to the Policymaker's Data Uncertainty Problem
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Author(s):
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Jana Eklund*+ and Alastair Cunningham and George Kapetanios and Chris Jeffery and Vincent Labhard
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Companies:
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Bank of England and Bank of England and Bank of England/Queen Mary, University of London and Bank of England and European Central Bank
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Address:
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Threadneedle Street, London, EC2R 8AH, , United Kingdom
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Keywords:
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Real-time data analysis ; State space models ; Data uncertainty ; Data revisions
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Abstract:
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The paper describes the challenges that uncertainty over the true value of key macroeconomic variables poses for the policymaker and the way in which she may form and update her view of the evolution of economic time-series in light of a range of indicators and models. Specifically, it casts the data uncertainty challenge in state space form and describes a two-step estimator for the resulting signal extraction problem. Real-time data are first used to estimate the statistical properties of past revisions to published estimates of macroeconomic variables; and these properties are then imposed in maximum likelihood estimation of the full state space model.
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