A Steady-State Approach to Trend/Cycle Decomposition of Regime-Switching Processes
نویسندگان
چکیده
منابع مشابه
Trend/Cycle Decomposition of Regime-Switching Processes
We present a new approach to trend/cycle decomposition of time series that follow regime-switching processes. The proposed approach, which we label the “regime-dependent steady-state” (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge-Nelson (1981) decomposition to the setting where the reduced-form dynamics of a given series can be captured by a regime-switch...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.761025