Modelling a change of classification in economic time series data
Modelling a change of classification in economic time series data
The change of classification problem for economic sectoral time series data is examined by a approach. State space representations are proposed both for data reconstruction and modelling a change of classification. The Doran (1992) methodology of constraining the Kalman filter to satisfy time varying restrictions is applied to show how to handle both limited information and aggregation constraints. We explore the implications of this approach for what will be, perhaps, the most important change of classification in sectoral data: the new National Accounts for European Unification. Results of an experimental application to Italian Quarterly Accounts are provided
University of Southampton
Moauro, F.
5f599c14-dc96-4b16-8e03-751a11fac534
January 1997
Moauro, F.
5f599c14-dc96-4b16-8e03-751a11fac534
Moauro, F.
(1997)
Modelling a change of classification in economic time series data
(Discussion Papers in Economics and Econometrics, 9721)
Southampton, UK.
University of Southampton
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Monograph
(Discussion Paper)
Abstract
The change of classification problem for economic sectoral time series data is examined by a approach. State space representations are proposed both for data reconstruction and modelling a change of classification. The Doran (1992) methodology of constraining the Kalman filter to satisfy time varying restrictions is applied to show how to handle both limited information and aggregation constraints. We explore the implications of this approach for what will be, perhaps, the most important change of classification in sectoral data: the new National Accounts for European Unification. Results of an experimental application to Italian Quarterly Accounts are provided
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Published date: January 1997
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Local EPrints ID: 33195
URI: http://eprints.soton.ac.uk/id/eprint/33195
PURE UUID: 83ddc014-6173-45a1-a106-81a71d85c9b5
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Date deposited: 25 Jan 2008
Last modified: 11 Dec 2021 15:19
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Author:
F. Moauro
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