A Beveridge-Nelson smoother.

DOI10.1016/S0165-1765(99)00276-1zbMath1137.62369OpenAlexW2007943952MaRDI QIDQ1978559

Yanyan Li

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00276-1

zbMATH Keywords

DecompositionWiener-Kolmogorov filterSignal extractionKalman filter and smootherUnobserved components

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (4)

Characterising economic trends by Bayesian stochastic model specification search ⋮ Trend–Cycle Decompositions with Correlated Components ⋮ ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS ⋮ The Multistep Beveridge–Nelson Decomposition

Cites Work

• Signal extraction from nonstationary time series
• Prediction theory for autoregressivemoving average processes

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