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Computation of the Beveridge-Nelson decomposition for multivariate economic time series

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  • Arino, Miguel A.
  • Newbold, Paul
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    Abstract

    Computes a multivariate Beveridge-Nelson decomposition of a set of series via a vector autoregression. Arino and Newbold(1998), "Computation of the Beveridge-Nelson Decomposition for Multivariate Economic Time Series", Economic Letters, vol 61, 37-42.

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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 61 (1998)
    Issue (Month): 1 (October)
    Pages: 37-42

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    Handle: RePEc:eee:ecolet:v:61:y:1998:i:1:p:37-42

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. Miller, Stephen M., 1988. "The Beveridge-Nelson decomposition of economic time series : Another economical computational method," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 141-142, January.
    2. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
    3. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    4. Newbold, Paul, 1990. "Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series," Journal of Monetary Economics, Elsevier, vol. 26(3), pages 453-457, December.
    5. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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    Cited by:
    1. Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.
    2. Donald Robertson & Anthony Garratt & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542.
    3. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
    4. Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
    5. Anthony Garratt & Donald Robertson & Stephen Wright, 2004. "Inside the black box: permanent vs transitory components and economic fundamentals," Money Macro and Finance (MMF) Research Group Conference 2003 35, Money Macro and Finance Research Group.
    6. Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
    7. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.

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