A multivariate innovations state space Beveridge-Nelson decomposition
AbstractThe Beveridge-Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In particular, it is shown that this new specification is simpler than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GDP of Australia, the USA and the UK.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 26 (2009)
Issue (Month): 5 (September)
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Web page: http://www.elsevier.com/locate/inca/30411
Vector innovations structural time series model Multivariate time series model Beveridge-Nelson decomposition Common components;
Other versions of this item:
- de Silva, Ashton, 2007. "A multivariate innovations state space Beveridge Nelson decomposition," MPRA Paper 5431, University Library of Munich, Germany.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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