The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
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Publication:1667956
DOI10.1016/j.econlet.2015.11.001zbMath1396.91543OpenAlexW2099845862MaRDI QIDQ1667956
Publication date: 31 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.11.001
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64)
Related Items (2)
Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Uses Software
Cites Work
- The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
- A state-space approach to calculating the Beveridge-Nelson decomposition.
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
- What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
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