The Beveridge-Nelson decomposition of Markov-switching processes

DOI10.1016/j.econlet.2005.11.002zbMath1254.91644OpenAlexW1977647220MaRDI QIDQ1929080

Wen-Jen Tsay, Chao-Chun Chen

Publication date: 7 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.11.002

zbMATH Keywords

Beveridge-Nelson decompositionMarkov-switching

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (3)

Trend/cycle decomposition of regime-switching processes ⋮ Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984? ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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