What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?

DOI10.1080/07474938.2014.945335zbMath1491.62228OpenAlexW2094190349MaRDI QIDQ5080531

Han Li, Shigeru Iwata

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.945335

zbMATH Keywords

Beveridge-Nelson decompositionfrequency domain approachunobserved component models

Mathematics Subject Classification ID

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

Related Items (2)

The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series

Cites Work

• The Beveridge-Nelson decomposition in retrospect and prospect
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Single source of error state space approach to the Beveridge Nelson decomposition
• A note on the two assumptions of standard unobserved components models
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• Conventional Confidence Intervals for Points on Spectrum have Confidence Level Zero
• Trend–Cycle Decompositions with Correlated Components

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