The Beveridge-Nelson decomposition in retrospect and prospect

DOI10.1016/J.JECONOM.2008.08.008zbMATH Open1429.91249OpenAlexW2066640894MaRDI QIDQ299208FDOQ299208

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

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zbMATH Keywords

forecastingBeveridge-Nelson decompositiontrend 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)

Cites Work

• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
• Title not available (Why is that?)
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Spurious Periodicity in Inappropriately Detrended Time Series
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

Cited In (8)

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

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