Prediction of Final Data with Use of Preliminary and/or Revised Data

Publication Type

Journal Article

Publication Date

1995

Abstract

In the case of US national accounts the data are revised for the first few years and every decade, which implies that the data is not really the final data. The Monte Carlo integration non-linear filter proposed by Tanizaki (1991, 1993) and Tanizaki and Mariano (1994) was applied. The predictors were introduced as an application of the non-linear filtering problem. The US consumption function was taken as an empirical example, where the measurement equation was simply assumed to be linear or log-linear between the preliminary data and the final data while the transition equation was derived from the utility-maximization problem.

Discipline

Economics

Research Areas

Econometrics

Publication

Journal of Forecasting

Volume

14

Issue

4

First Page

351

Last Page

380

ISSN

0277-6693

Identifier

10.1002/for.3980140404

Publisher

Wiley

Additional URL

https://doi.org/10.1002/for.3980140404

This document is currently not available here.

Share

COinS