Computation of the Beveridge--Nelson decomposition for multivariate economic time series

DOI10.1016/S0165-1765(98)00131-1zbMath0911.90084WikidataQ127288775 ScholiaQ127288775MaRDI QIDQ1274780

Miguel A. Ariño, Paul Newbold

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

trend-cycle decompositionVARMA models

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics ⋮ Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984? ⋮ Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables ⋮ A state-space approach to calculating the Beveridge-Nelson decomposition.

Cites Work

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• Identifying a Simplifying Structure in Time Series
• Testing for Common Trends
• COINTEGRATION AND COMMON FACTORS

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