EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London  >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London  >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/62842
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorKapetanios, Georgeen_US
dc.contributor.authorYates, Anthonyen_US
dc.date.accessioned2012-09-20T12:59:43Z-
dc.date.available2012-09-20T12:59:43Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/62842-
dc.description.abstractOver time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of this time variation and an estimate of the absolute amount of uncertainty in the data. We apply the method to UK aggregate expenditure data, and illustrate the gains in forecasting from exploiting our model estimates of measurement error.en_US
dc.language.isoengen_US
dc.publisherQueen Mary, Univ. of London, Dep. of Economics Londonen_US
dc.relation.ispartofseriesWorking Paper, Department of Economics, Queen Mary, University of London 520en_US
dc.subject.jelC32en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordForecasting, Data revisionsen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistische Erhebungen_US
dc.subject.stwStatistischer Fehleren_US
dc.titleEstimating time-variation in measurement error from data revisions: An application to forecasting in dynamic modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn471225800en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

Files in This Item:
File Description SizeFormat
471225800.pdf358.56 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.