Combining historical and preliminary information to obtain timely time series data

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