A state space approach to extracting the signal from uncertain data

Journal of Business and Economic Statistics

Volumn 30, Issue 2, 2012, Pages 173-180

  Cunningham, Alastair ^a   Eklund, Jana ^a   Jeffery, Chris ^a   Kapetanios, George ^a,b   Labhard, Vincent ^c  

^a BANK OF ENGLAND   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Data revisions; Data uncertainty; Real time data analysis; State space models

Indexed keywords

EID: 84861867842     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1198/jbes.2009.08171     Document Type: Article

References (17)

1. Akritidis, L. (2003), "Revisions to Quarterly GDP Growth and Expenditure Components," Economic Trends, 601, 69-85. [174]
2. Ashley, J., Driver, R., Hayes, S., and Jeffery, C. (2005), "Dealing With Data Uncertainty," Bank of England Quarterly Bulletin, 45 (1), 23-30. [174]
3. Cameron, A. C., and Trivedi, P. K. (2005), Microeconometrics: Methods and Applications, New York: Cambridge University Press. [175]
4. Castle, J., and Ellis, C. (2002), "Building a Real-Time Database for GDP(E)," Bank of England Quarterly Bulletin, 42 (1), 42-48. [177]
5. Cunningham, A., Eklund, J., Jeffery, C., Kapetanios, G., and Labhard, V. (2009), "A State Space Approach to Extracting the Signal From Uncertain Data," Working Paper 637, Queen Mary University of London. [175,176]
6. Diebold, F. X., and Mariano, R. S. (1995), "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, 13, 253-263. [178,179]
7. Donald, S. G., and Newey, W. K. (2001), "Choosing the Number of Instruments," Econometrica, 69, 1161-1191. [175]
8. Garratt, A., and Vahey, S. P. (2006), "UK Real-Time Macro Data Characteristics," The Economic Journal, 116 (509), F119-F135. [174,177]
9. Garratt, A., Lee, K., Mise, E., and Shields, K. (2008), "Real-Time Representations of the Output Gap," The Review of Economics and Statistics, 90 (4), 792-804. [174,175]
10. Harvey, A. (1989), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press. [175]
11. Harvey, D. I., Leybourne, S. J., and Newbold, P. (1997), "Testing the Equality of Prediction Mean Square Errors," International Journal of Forecasting, 13, 273-281. [178]
12. Howrey, E. P. (1978), "The Use of Preliminary Data in Econometric Forecasting," Review of Economics and Statistics, 60 (2), 193-200. [173]
13. Howrey, E. P. (1984), "Data Revision, Reconstruction, and Prediction: An Application to Inventory Investment," The Review of Economics and Statistics, 66 (3), 386-393. [174]
14. Jacobs, J. P. A. M., and Van Norden, S. (2007), "Modeling Data Revisions: Measurement Error and Dynamics of "True" Values," Les Cahiers de CREF 07-09, HEC Montréal. [174]
15. Kapetanios, G., and Yates, T. (2009), "Estimating Time-Variation in Measurement Error From Data Revisions; an Application to Forecasting in Dynamic Models," Journal of Applied Econometrics, to appear. [174,175]
16. Mitchell, J. (2004), "Review of Revisions to Economic Statistics: A Report to the Statistics Commission," Report No. 17, 2, Statistics Commission. [173]
17. Öller, L.-E., and Hansson, K.-G. (2002), "Revisions of Swedish National Accounts 1980-1998 and an International Comparison," discussion paper, Statistics Sweden. [173]