The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
type: Item
instance of: scholarly article
title: The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
zbMATH Open document ID: 1396.91543
author: Yasutomo Murasawa
published in: Economics Letters
publication date: 2018-08-31T00:00:00Z
Mathematics Subject Classification ID: 91B64
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6929939
zbMATH Keywords: gap
zbMATH Keywords: natural rate
zbMATH Keywords: trend-cycle decomposition
zbMATH Keywords: unit root
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: j.econlet.2015.11.001
OpenAlex ID: W2099845862
cites work: What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
cites work: A state-space approach to calculating the Beveridge-Nelson decomposition.
cites work: BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
cites work: The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
cites work: A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
DOI: 10.1016/J.ECONLET.2015.11.001
Recommended article: Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Recommended article: The Multistep Beveridge–Nelson Decomposition
Recommended article: The Beveridge-Nelson Decomposition: A Different Perspective with New Results
Recommended article: The beveridge-nelson decomposition: Properties and extensions
Recommended article: Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables
Recommended article: Computation of the Beveridge--Nelson decomposition for multivariate economic time series
Recommended article: A multivariate generalization of the von Neumann-Wold decomposition
description: scientific article; zbMATH DE number 6929939