COMBINING HISTORICAL AND PRELIMINARY INFORMATION TO OBTAIN TIMELY TIME-SERIES DATA

A method is presented to improve the precision of timely data, which a re published when final data are not yet available. Explicit statistic al formulae, equivalent to Kalman filtering, are derived to combine hi storical with preliminary information. The application of these formul ae is validated by the data, through a statistical test of compatibili ty between sources of information. A measure of the share of precision of each source of information is also derived. An empirical example w ith Mexican economic data serves to illustrate the procedure.