The Beveridge-Nelson Decomposition: A Different Perspective with New Results
نویسندگان
چکیده
منابع مشابه
The Beveridge-Nelson decomposition: A different perspective with new results
We show in the paper that the decomposition proposed by Beveridge and Nelson for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition Two equiv alent algorithms are proposed to optimally in the mean squared sense compute the estimates of the components in the generalized decomposition While the rst algorithm is very fas...
متن کاملThe Multistep Beveridge-Nelson Decomposition
The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained by the direct autoregressive approach, which optimizes the predictive ability of the AR model at foreca...
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A state–space approach provides a general unified framework for calculation of the Beveridge–Nelson decomposition for a wide variety of time series models, including all univariate and vector ARIMA models. 2002 Elsevier Science B.V. All rights reserved.
متن کاملThe Two Interpretations of the Beveridge–nelson Decomposition
The Beveridge–Nelson decomposition calculates trend and cycle for an integrated time series. However, there are two ways to interpret the results from the decomposition. One interpretation is that the optimal long-run forecast (minus any deterministic drift) used to calculate the Beveridge–Nelson trend corresponds to an estimate of an unobserved permanent component. The other interpretation is ...
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In this paper, I analyze the business cycle properties of remittances and output series for three pairs of countries: the United States–Mexico, the United States–El Salvador, and Germany–Turkey. Using an unobserved components state-space model (via the BeveridgeNelson decomposition), I decompose the remittances and output series into stochastic permanent and cyclical components. I then use the ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 1999
ISSN: 0143-9782,1467-9892
DOI: 10.1111/1467-9892.00154