The Beveridge-Nelson decomposition of Markov-switching processes

DOI10.1016/J.ECONLET.2005.11.002MaRDI QIDQ1929080zbMATH OpenOpenAlexFDO

Authors Chao-Chun Chen, Wen-Jen Tsay

Publication date 7 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2005.11.002

zbMATH Keywords

Beveridge-Nelson decompositionMarkov-switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• scientific article; zbMATH DE number 777596 (Why is no real title available?)

Cited in

(6)

• Trend/cycle decomposition of regime-switching processes
• Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
• The beveridge-nelson decomposition: Properties and extensions
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results
• Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with I(0) variables
• Trend and cycle decomposition of Markov switching (co)integrated time series

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