Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models
利用数据修订估计时变测量误差：动态模型中的回溯估计与预测
Abstract Over time, economic statistics are refined. This implies that data measuring recent economic events are typically less reliable than older data. Such time variation in measurement error affects optimal forecasts. Measurement error, and its time variation, are of course unobserved. Our contribution is to show how estimates of these can be recovered from the variance of revisions to data using a behavioural model of the statistics agency. We illustrate the gains in…