Trend–Cycle Decompositions with Correlated Components

DOI10.1080/07474930500545496zbMath1177.93091OpenAlexW2083011252MaRDI QIDQ5291757

Tommaso Proietti

Publication date: 22 May 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930500545496

zbMATH Keywords

hysteresissignal extractionrevisionspermanent--transitory decomposition

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Data smoothing in stochastic control theory (93E14)

Related Items (7)

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics ⋮ A Review of Some Modern Approaches to the Problem of Trend Extraction ⋮ What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models? ⋮ Optimal signal extraction with correlated components ⋮ Single and multiple error state-space models for signal extraction ⋮ Predictability, real time estimation, and the formulation of unobserved components models ⋮ The Multistep Beveridge–Nelson Decomposition

Uses Software

• Ox

Cites Work

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• A Beveridge-Nelson smoother.
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• An Exact Multivariate Model-Based Structural Decomposition
• Statistical algorithms for models in state space using SsfPack 2.2
• Signal extraction and the formulation of unobserved components models
• The simulation smoother for time series models
• Prediction theory for autoregressivemoving average processes

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