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- Title
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models.
- Authors
Kapetanios, George; Yates, Tony
- Abstract
The article reports on an application to forecasting in dynamic models. Over time many sources of data that are relevant for estimating the current state of the economy are refined. This means that at any one time policymakers will be faced with data that are measured with different amounts of measurement error. A popular choice of researchers has been to assume that the final or latest release of an observation on some variable is the truth, and then to proxy the variance of the measurement error in earlier releases by the variance of earlier releases around the final release. The drawback of this method is that the final release is itself measured badly.
- Subjects
STATISTICS; ECONOMICS; PROXY statements; POLICY sciences; INFORMATION services; MATHEMATICS
- Publication
Bank of England Quarterly Bulletin, 2004, Vol 44, Issue 4, p462
- ISSN
0005-5166
- Publication type
Article