A robust Beveridge-Nelson decomposition using a score-driven approach with an application

DOI10.1016/J.ECONLET.2024.111588MaRDI QIDQ6498748

Paolo Gorgi, Janneke van Brummelen, Siem Jan Koopman, Francisco Blasques

Publication date: 7 May 2024

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

zbMATH Keywords

heavy-tailed distributionsfilteringtrend and cycleautoregressive integrated moving average modelscore-driven model

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Cites Work

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• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Single source of error state space approach to the Beveridge Nelson decomposition
• Dynamic Models for Volatility and Heavy Tails
• Filtering With Heavy Tails
• Time‐series models with an EGB2 conditional distribution

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