The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series

DOI10.1016/j.econlet.2015.11.001zbMath1396.91543OpenAlexW2099845862MaRDI QIDQ1667956

Yasutomo Murasawa

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

zbMATH Keywords

gapunit roottrend-cycle decompositionnatural rate

Mathematics Subject Classification ID

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

• R

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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