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Forecasting with a real-time data set for macroeconomists

✍ Scribed by Tom Stark; Dean Croushore


Book ID
114130305
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
273 KB
Volume
24
Category
Article
ISSN
0164-0704

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✍ Kosei Fukuda 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 220 KB

## Abstract A modeling approach to real‐time forecasting that allows for data revisions is shown. In this approach, an observed time series is decomposed into stochastic trend, data revision, and observation noise in real time. It is assumed that the stochastic trend is defined such that its first