Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration

DOI10.1515/SNDE-2020-0049OpenAlexMaRDI QIDQ2700549FDO

Authors Yasutomo Murasawa

Publication date 27 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2020-0049

zbMATH Keywords

unit roottrend-cycle decompositionoutput gaptrend inflationnatural ratevector error correction model (VECM)

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 3954135 (Why is no real title available?)
• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• A Stastistical Analysis of Cointegration for I(2) Variables
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
• Bayesian analysis of the error correction model
• Bayesian data analysis.
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Bayesian inference in a cointegrating panel data model
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Notation in econometrics: a proposal for a standard
• Polynomial cointegration. Estimation and test
• Statistics on special manifolds
• Structural vector autoregressive analysis
• The Beveridge-Nelson decomposition in retrospect and prospect
• The matrix angular central Gaussian distribution
• The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

Cited in

(2)

• Computation of the Beveridge--Nelson decomposition in the case of cointegrated systems with \(I(0)\) variables
• The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series

Describes a project that uses

Uses Software

• R
• BayesDA

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