A robust Beveridge-Nelson decomposition using a score-driven approach with an application

DOI10.1016/J.ECONLET.2024.111588MaRDI QIDQ6498748FDOQ6498748

Authors: Francisco Blasques, Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman 

Publication date: 7 May 2024

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

filteringheavy-tailed distributionstrend and cycleautoregressive integrated moving average modelscore-driven model

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Cites Work

• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Time series analysis by state space methods.
• Single source of error state space approach to the Beveridge Nelson decomposition
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Filtering With Heavy Tails
• Time-series models with an EGB2 conditional distribution

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