A state-space approach to calculating the Beveridge-Nelson decomposition.

DOI10.1016/S0165-1765(01)00581-XzbMath1131.91379OpenAlexW2101879227MaRDI QIDQ1605455

James C. Morley

Publication date: 15 July 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00581-x

zbMATH Keywords

Kalman filterBeveridge-Nelson decompositionState-space models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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