The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

DOI10.1016/J.JECONOM.2008.08.021zbMATH Open1429.62408OpenAlexW2041101172MaRDI QIDQ299212FDOQ299212

Authors: Kum Hwa Oh, Eric Zivot, Drew Creal 

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.2008.08.021

Recommendations

• The Beveridge-Nelson Decomposition: A Different Perspective with New Results
• The beveridge-nelson decomposition: Properties and extensions
• The Beveridge-Nelson decomposition in retrospect and prospect
• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• The multistep Beveridge-Nelson decomposition

zbMATH Keywords

Kalman filterstate-space modelspermanent-transitory decompositiontrend-cycle decompositionunobserved components time series model

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

• Title not available (Why is that?)
• Modeling Financial Time Series with S-PLUS®
• Signal extraction and the formulation of unobserved components models
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Statistical algorithms for models in state space using SsfPack 2.2
• Are output fluctuations transitory?
• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Single source of error state space approach to the Beveridge Nelson decomposition
• Properties of higher order stochastic cycles
• Title not available (Why is that?)
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Trends and cycles in economic time series: a Bayesian approach
• BEVERIDGE-NELSON-TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS
• Trend–Cycle Decompositions with Correlated Components

Cited In (14)

• The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
• Predictability, real time estimation, and the formulation of unobserved components models
• The Beveridge-Nelson Decomposition: A Different Perspective with New Results
• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• The Beveridge-Nelson decomposition in retrospect and prospect
• The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
• The multistep Beveridge-Nelson decomposition
• Single source of error state space approach to the Beveridge Nelson decomposition
• The relationship between the Beveridge-Nelson decomposition and exponential smoothing
• A robust Beveridge-Nelson decomposition using a score-driven approach with an application
• Optimal signal extraction with correlated components
• Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
• Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
• Trend and cycle decomposition of Markov switching (co)integrated time series

Uses Software

• Ox
• SsfPack
• StFinMetrics

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