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Real-time squared: A real-time data set for real-time GDP forecasting

✍ Scribed by Roberto Golinelli; Giuseppe Parigi


Book ID
113647992
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
566 KB
Volume
24
Category
Article
ISSN
0169-2070

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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