The multistep Beveridge-Nelson decomposition

DOI10.1080/07474938.2014.966631MaRDI QIDQ5864361zbMATH OpenOpenAlexFDO

Authors Tommaso Proietti

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.966631

zbMATH Keywords

filteringforecastingmisspecificationtrend and cycle

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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• The Beveridge-Nelson decomposition in retrospect and prospect
• The beveridge-nelson decomposition: Properties and extensions
• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
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Cites work

• A Beveridge-Nelson smoother.
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Bias of some commonly-used time series estimates
• Bootstraps for time series
• Generalized Levinson--Durbin and Burg algorithms.
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• Multi-step estimation and forecasting in dynamic models
• Multistep prediction in autoregressive processes
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• Robustness of maximum likelihood estimates for multi-step predictions: The exponential smoothing case
• Selecting optimal multistep predictors for autoregressive processes of unknown order.
• Sieve bootstrap for time series
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• The Beveridge-Nelson decomposition in retrospect and prospect
• The beveridge-nelson decomposition: Properties and extensions
• The Bias of Autoregressive Coefficient Estimators
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Trend–Cycle Decompositions with Correlated Components

Cited in

(9)

• Computation of the Beveridge--Nelson decomposition for multivariate economic time series
• The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series
• The Beveridge-Nelson decomposition of Markov-switching processes
• Single source of error state space approach to the Beveridge Nelson decomposition
• A Beveridge-Nelson smoother.
• The Beveridge-Nelson decomposition in retrospect and prospect
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Trend and cycle decomposition of Markov switching (co)integrated time series
• A robust Beveridge-Nelson decomposition using a score-driven approach with an application

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Uses Software

• Ox

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