Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
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Publication:2700549
DOI10.1515/snde-2020-0049OpenAlexW3145302716MaRDI QIDQ2700549
Publication date: 27 April 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2020-0049
unit roottrend-cycle decompositionoutput gaptrend inflationnatural ratevector error correction model (VECM)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Uses Software
Cites Work
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- BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
- Structural Vector Autoregressive Analysis
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