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Abstract Details
Activity Number:
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563
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #306202 |
Title:
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Modeling Multivariate Data Revisions
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Author(s):
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Jan-Egbert Sturm*+
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Companies:
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KOF Swiss Economic Institute, ETH Zurich
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Address:
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Weinbergstr. 35, Zurich, _, 8092, Switzerland
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Keywords:
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real-time analysis ;
data revisions ;
current-account statistics
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Abstract:
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Although many official statistics produced by statistical agencies suffer from revisions, data revisions are typically studied in isolation ignoring information in other time series. This paper extends the Jacobs and van Norden (2011) modeling framework to multivariate data revisions. We consider systems of variables, which may be related by one or more identities. Measurement errors in each variable may be composed of news and noise errors. These errors may be correlated across time and across variables. We show how to model such systems with standard linear state space models. We motivate and illustrate the multivariate modeling framework with Swiss current account data.
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