Rational Economic Data Revisions
- 1 October 1987
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 5 (4) , 539-548
- https://doi.org/10.1080/07350015.1987.10509622
Abstract
The efficient handling of provisional economic time series data is considered. Procedures are justified in terms of a testable hypothesis regarding the nature of data revisions. The hypothesis leads to explicit and practical variance expressions for measurement errors. Testing and estimation issues are dealt with. An efficient dual filter is developed for recursive signal estimation. Techniques are applied to the Canadian index of production data.Keywords
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