A state-space approach to calculating the Beveridge-Nelson decomposition.
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Publication:1605455
DOI10.1016/S0165-1765(01)00581-XzbMath1131.91379OpenAlexW2101879227MaRDI QIDQ1605455
Publication date: 15 July 2002
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00581-x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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