A state–space approach to calculating the Beveridge–Nelson decomposition
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference8 articles.
1. Computation of the Beveridge–Nelson decomposition for multivariate economic time series;Ariño;Economics Letters,1998
2. A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle;Beveridge;Journal of Monetary Economics,1981
3. Permanent and transitory components of GNP and stock prices;Cochrane;Quarterly Journal of Economics,1994
4. The Beveridge–Nelson decomposition of economic time series: A quick computational method;Cuddington;Journal of Monetary Economics,1987
5. The Econometric Analysis of Time Series;Harvey,1990
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