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

DOI10.1016/J.ECONLET.2005.11.005MaRDI QIDQ1929082zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 5035827 (Why is no real title available?)
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

Cited in

(5)

• A robust Beveridge-Nelson decomposition using a score-driven approach with an application
• Single and multiple error state-space models for signal extraction
• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Trend and cycle decomposition of Markov switching (co)integrated time series

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