Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (Q2700549)
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scientific article; zbMATH DE number 7679723
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| English | Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration |
scientific article; zbMATH DE number 7679723 |
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Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (English)
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27 April 2023
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natural rate
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output gap
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trend-cycle decomposition
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trend inflation
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unit root
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vector error correction model (VECM)
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0.8740435
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0.8676356
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0.86714154
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0.8666197
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0.86334056
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0.86169344
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0.8561133
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0.8499758
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0.8490881
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0.84890306
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