The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics (Q299212): Difference between revisions

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scientific article

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English	The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics	scientific article

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scholarly article

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title

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics (English)

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Journal of Econometrics

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publication date

22 June 2016

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zbMATH Keywords

permanent-transitory decomposition

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trend-cycle decomposition

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unobserved components time series model

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state-space models

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Kalman filter

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describes a project that uses

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2008.08.021

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cites work

Single source of error state space approach to the Beveridge Nelson decomposition

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Computation of the Beveridge--Nelson decomposition for multivariate economic time series

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Q3827448

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Are Output Fluctuations Transitory?

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Signal extraction and the formulation of unobserved components models

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Trends and cycles in economic time series: a Bayesian approach

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An ARIMA-Model-Based Approach to Seasonal Adjustment

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Statistical algorithms for models in state space using SsfPack 2.2

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A state-space approach to calculating the Beveridge-Nelson decomposition.

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BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS

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Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

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Trend–Cycle Decompositions with Correlated Components

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The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds

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Properties of higher order stochastic cycles

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Modeling Financial Time Series with S-PLUS®

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Q3498093

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Identifiers

zbMATH Open document ID

1429.62408

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DOI

10.1016/j.jeconom.2008.08.021

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:299212

@@ Property / cites work @@
+Single source of error state space approach to the Beveridge Nelson decomposition
+Normal rank
@@ Property / cites work @@
+Computation of the Beveridge--Nelson decomposition for multivariate economic time series
+Normal rank
@@ Property / cites work @@
+Q3827448
@@ Property / cites work: Q3827448 / rank @@
+Normal rank
@@ Property / cites work @@
+Are Output Fluctuations Transitory?
@@ Property / cites work: Are Output Fluctuations Transitory? / rank @@
+Normal rank
@@ Property / cites work @@
+Signal extraction and the formulation of unobserved components models
+Normal rank
@@ Property / cites work @@
+Trends and cycles in economic time series: a Bayesian approach
+Normal rank
@@ Property / cites work @@
+An ARIMA-Model-Based Approach to Seasonal Adjustment
+Normal rank
@@ Property / cites work @@
+Statistical algorithms for models in state space using SsfPack 2.2
+Normal rank
@@ Property / cites work @@
+A state-space approach to calculating the Beveridge-Nelson decomposition.
+Normal rank
@@ Property / cites work @@
+BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
+Normal rank
@@ Property / cites work @@
+Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
+Normal rank
@@ Property / cites work @@
+Trend–Cycle Decompositions with Correlated Components
+Normal rank
@@ Property / cites work @@
+The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
+Normal rank
@@ Property / cites work @@
+Properties of higher order stochastic cycles
@@ Property / cites work: Properties of higher order stochastic cycles / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling Financial Time Series with S-PLUS®
@@ Property / cites work: Modeling Financial Time Series with S-PLUS® / rank @@
+Normal rank
@@ Property / cites work @@
+Q3498093
@@ Property / cites work: Q3498093 / rank @@
+Normal rank