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Beveridge‐Nelson‐Type Trends For I(2) And Some Seasonal Models

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  • Paul Newbold
  • Dimttrios Vougas

Abstract

. Beveridge and Nelson (A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. J. Monet. Econ. 7 (1981), 151–74) introduced a decomposition into trend plus irregular components for time series generated by models that are integrated of order one. The components are functions of current and past, but not future, values of the series. Therefore, these components can be viewed as estimates available to an agent at the time. Moreover, the decomposition exists whenever the generating process is stationary after first differencing. In this paper we extend the decomposition to generating processes that are integrated of order two, and to the seasonal models of Box and Jenkins (Time Series Analysis, Forecasting and Control. San Francisco:Holden Day, 1970). The analysis leads to the estimation of stochastic growth rates, as well as component series. The methodology is applied to monthly UK industrial production data.

Suggested Citation

  • Paul Newbold & Dimttrios Vougas, 1996. "Beveridge‐Nelson‐Type Trends For I(2) And Some Seasonal Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(2), pages 151-169, March.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:2:p:151-169
    DOI: 10.1111/j.1467-9892.1996.tb00270.x
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    Cited by:

    1. Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.

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