The estimation uncertainty of permanent-transitory decompositions in co-integrated systems

DOI10.1080/07474938.2016.1235257zbMath1490.62271OpenAlexW2164380592MaRDI QIDQ5860914

Sven Schreiber

Publication date: 4 March 2022

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

Full work available at URL: http://hdl.handle.net/10419/105948

zbMATH Keywords

bootstrapdelta methodVECMtransitory components

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)

Cites Work

• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Extracting a common stochastic trend: theory with some applications
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Testing for Common Trends
• Error Bands for Impulse Responses
• Unnamed Item

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