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

DOI10.1515/SNDE-2020-0049OpenAlexW3145302716MaRDI QIDQ2700549FDOQ2700549

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

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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)

Cites Work

• Bayesian data analysis.
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• Structural vector autoregressive analysis
• Title not available (Why is that?)
• Polynomial cointegration. Estimation and test
• A Stastistical Analysis of Cointegration for I(2) Variables
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• Notation in econometrics: a proposal for a standard
• Bayesian analysis of the error correction model
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• The Beveridge-Nelson decomposition in retrospect and prospect
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
• Efficient posterior simulation for cointegrated models with priors on the cointegration space
• Bayesian inference in a cointegrating panel data model
• The matrix angular central Gaussian distribution
• The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series

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

Uses Software

• R
• BayesDA

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