The Beveridge-Nelson decomposition in retrospect and prospect

DOI10.1016/J.JECONOM.2008.08.008MaRDI QIDQ299208zbMATH OpenOpenAlexFDO

Authors Charles R. Nelson

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.08.008

zbMATH Keywords

Beveridge-Nelson decompositionforecastingtrend and cycle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• Spurious Periodicity in Inappropriately Detrended Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(13)

• A Beveridge-Nelson smoother.
• Decomposing the output gap with inflation learning
• What cycles? Data detrending in DSGE models
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
• Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Trend/cycle decomposition of regime-switching processes
• Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• The multistep Beveridge-Nelson decomposition
• Trend and cycle decomposition of Markov switching (co)integrated time series
• A robust Beveridge-Nelson decomposition using a score-driven approach with an application
• Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter

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