Computation of the Beveridge-Nelson decomposition for multivariate economic time series
AbstractComputes 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 InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 61 (1998)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Tom Doan, . "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.
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- 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.
- 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.
- 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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