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- Title
A state space approach to extracting the signal from uncertain data.
- Authors
Cunningham, Alastair; Eklund, Jana; Jeffery, Christopher; Kapetanios, George; Labhard, Vincent
- Abstract
The article discusses the state space approach in extracting information from uncertain macroeconomic data. It discusses how data uncertainty occurs during the revision efforts made by statistical agencies on their estimates. It mentions the approach, which extracts the signal from these uncertain data, and explains its process through a proxy and estimation of the data's revisions. It also discusses the important use of the produced data in assessing any economic applications.
- Subjects
UNCERTAINTY; FINANCE; MACROECONOMICS; PROXY; ESTIMATION theory; DATA analysis
- Publication
Bank of England Quarterly Bulletin, 2007, Vol 47, Issue 4, p546
- ISSN
0005-5166
- Publication type
Article