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

DOI10.1016/j.econlet.2005.11.005zbMath1254.91391OpenAlexW2067166641MaRDI QIDQ1929082

Yanyan Li

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2004/wp21-04.pdf

zbMATH Keywords

state space modelsBeveridge-Nelson decompositionlong-run multipliersingle source of error

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (4)

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics ⋮ What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models? ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Single and multiple error state-space models for signal extraction

Cites Work

• Unnamed Item
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

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