The Beveridge-Nelson decomposition in retrospect and prospect

DOI10.1016/j.jeconom.2008.08.008zbMath1429.91249OpenAlexW2066640894MaRDI QIDQ299208

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

forecastingBeveridge-Nelson decompositiontrend and cycle

Mathematics Subject Classification ID

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

Related Items

Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson ⋮ What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models? ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ What cycles? Data detrending in DSGE models ⋮ Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration ⋮ The Multistep Beveridge–Nelson Decomposition ⋮ Decomposing the output gap with inflation learning

Cites Work

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Spurious Periodicity in Inappropriately Detrended Time Series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
• Unnamed Item