An Integrated Model of the Data Measurement and Data Generation Processes with an Application to Consumers' Expenditure
Bibliographic Data
| ID | 9703248 |
|---|---|
| Authors | K David Patterson (0000-0002-0190-7072, University of Reading, corresponding author) |
| Year | 1995 |
| Volume | 105 |
| Issue | 428 |
| Pages | 54 |
| Publication date | 1995-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.2307/2235319 |
| OpenAlex | W1990218741 |
| Language | EN |
| Citations received | 3 |
| References cited | 11 |
An integrated model is defined as one which not only models the data generation process (DGP) but also models the data measurement process (DMP). A natural framework for such an integrated model is the state space approach, with the optimal combination of preliminary vintages of data and predictions from the DGP model being obtained by application of the Kalman filter. We show that substantial reductions in the mean square error of preliminary vintages of data on consumers' expenditure can be obtained from this approach. This provides further evidence that preliminary vintages are not efficient forecasts of the final vintage
Algorithm · Econometrics · Economics · Kalman filter · Mean squared error · Process (computing · State space · State-space representation · Statistics · Vintage · Artificial Intelligence · Complex Systems and Time Series Analysis · Computer Science · Forecasting Techniques and Applications · Mathematics · Monetary Policy and Economic Impact
Preliminary-Data Error and Monetary Aggregate Targeting
Ain't Behavin'
The Optimal Use of Provisional Data in Forecasting With Dynamic Models
The Intertemporal Elasticity of Substitution in Consumption in the United States and the United Kingdom
Data Revision, Reconstruction, and Prediction
The Use of Preliminary Data in Econometric Forecasting
Consumer Durables Spending and Housing Market Activity
Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom
Data Revisions and the Expenditure Components of GDP
Statistical analysis of cointegration vectors
| Unique citing works | 3 |
|---|---|
| Citations per year | 0,1 |
| Citation span | 1997 - 2017 (21) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 3 |