Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors

DOI10.1016/S0165-1765(00)00295-0MaRDI QIDQ1583262zbMATH OpenFDO

Authors Kerry D. Patterson

Publication date 26 October 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

common factorweak exogeneitypreliminary data

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy
• Estimation of cointegrated models with exogenous variables
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Cointegration Detection Using Dynamic Factor Models
• Joint detection of unit roots and cointegration: data-based simulation

Cites work

• A state space model for reducing the uncertainty associated with preliminary vintages of data with an application to aggregate consumption
• Testing for Common Trends
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Cited in

(1)

• Modeling data revisions: measurement error and dynamics of ``true values

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