The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Online Program Home
Abstract Details
|
Activity Number:
|
549
|
|
Type:
|
Invited
|
|
Date/Time:
|
Wednesday, August 1, 2012 : 2:00 PM to 3:50 PM
|
|
Sponsor:
|
Section on Government Statistics
|
| Abstract - #303586 |
|
Title:
|
Reducing Revisions in Real Time Trend-Cycle Estimation
|
|
Author(s):
|
Estelle Bee Dagum*+ and Silvia Bianconcini
|
|
Companies:
|
University of Bologna and University of Bologna
|
|
Address:
|
via delle Belle Arti 41, Bologna, 40126, Italy
|
|
Keywords:
|
end-point trend-cycle estimation ;
Henderson kernels ;
revision minimization
|
|
Abstract:
|
Recently, reproducing kernel Hilbert spaces have been introduced to provide a common approach for studying several nonparametric estimators used for smoothing time series data (Dagum and Bianconcini, 2008 and 2011). Based on this methodology, Bianconcini and Quenneville (2010) focuses on the properties of the Henderson reproducing kernels when the filters are adapted at the end of the sample period, and with particular emphasis on the influence of the kernel order and bandwidth parameter. In this paper, we design a family of trend filters applied for real time estimation that are optimal in terms of reducing revisions when new observations are added to the series.
References. Dagum E.B. and Bianconcini S. (2011), "A unified probabilistic view of nonparametric predictors via reproducing kernel Hilbert spaces", Econometric Reviews, to appear. Bianconcini S. and Quenneville B. (2010), Real
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2012 program
|
2012 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.