Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables

DOI10.1016/S0165-1765(01)00455-4zbMath0988.91030MaRDI QIDQ5941396

Alfonso J. Quesada Medina, Arielle Beyaert

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

real exchange rateBeveridge-Nelson decompositionVEC models

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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