The beveridge-nelson decomposition: Properties and extensions

DOI10.1007/BF02589061zbMath1446.62311MaRDI QIDQ3598325

Tommaso Proietti

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

seasonalityKalman filterintegrationbusiness cyclestochastic trend

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

A Review of Seasonal Adjustment Diagnostics ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Optimal signal extraction with correlated components ⋮ The Multistep Beveridge–Nelson Decomposition

Cites Work

• Seasonal integration and cointegration
• Stochastic linear trends. Models and estimators
• Estimating Trend and Growth Rates in Seasonal Time Series
• Linear Statistical Inference and its Applications

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