A matrix approach to the Beveridge-Nelson decomposition of Markov-switching processes with applications to business cycle
Author:
Affiliation:
1. Department of Economics “Marco Biagi”, University of Modena and Reggio E., Modena, Italy
Funder
University of Modena and Reggio Emilia, Italy
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2020.1841882
Reference20 articles.
1. Computation of the Beveridge–Nelson decomposition for multivariate economic time series
2. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’
3. Computation of the Beveridge–Nelson decomposition in the case of cointegrated systems with I(0) variables
4. DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
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