BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS

DOI10.1111/j.1467-9892.1996.tb00270.xzbMath0848.62048OpenAlexW2104742680MaRDI QIDQ4881705

Paul Newbold, Dimitrios V. Vougas

Publication date: 28 October 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00270.x

zbMATH Keywords

decompositiontime seriesexponential smoothingtrend estimationintegrated processesstochastic growth ratescomponent seriesseasonal ARIMA modelsindustrial production data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

A permanent-transitory decomposition for ARFIMA processes ⋮ The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics ⋮ The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series ⋮ Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Estimating Trend and Growth Rates in Seasonal Time Series

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