Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables (Q5941396)
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scientific article; zbMATH DE number 1635589
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| English | Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables |
scientific article; zbMATH DE number 1635589 |
Statements
Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables (English)
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20 August 2001
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Beveridge-Nelson decomposition
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VEC models
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real exchange rate
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0.8974368
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0.8676356
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0.8506746
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0.8447828
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0.8295834
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0.8236438
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