A Beveridge-Nelson smoother.

DOI10.1016/S0165-1765(99)00276-1zbMATH Open1137.62369OpenAlexW2007943952MaRDI QIDQ1978559FDOQ1978559

Authors: Yanyan Li 

Publication date: 4 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00276-1

Recommendations

• The beveridge-nelson decomposition: Properties and extensions
• The multistep Beveridge-Nelson decomposition
• BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
• The Beveridge-Nelson decomposition in retrospect and prospect

zbMATH Keywords

DecompositionWiener-Kolmogorov filterSignal extractionKalman filter and smootherUnobserved components

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Signal extraction from nonstationary time series
• Prediction theory for autoregressivemoving average processes

Cited In (6)

• Characterising economic trends by Bayesian stochastic model specification search
• Trend–Cycle Decompositions with Correlated Components
• Unscented Rauch--Tung--Striebel Smoother
• The Multistep Beveridge–Nelson Decomposition
• Trend estimation of financial time series
• On the spectral properties of matrices associated with trend filters

This page was built for publication: A Beveridge-Nelson smoother.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978559)