Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series
AbstractPerforms the Beveridge-Nelson decomposition on a single series. Beveridge and Nelson(1981), "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components", J. of Monetary Economics, vol 7, 151-174. The algorithm used is from Newbold(1990), "Precise and Efficient Computation of the Beveridge-Nelson Decomposition of Economic Time Series," J. of Monetary Economics, vol 26, 453-7.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Monetary Economics.
Volume (Year): 26 (1990)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505566
Other versions of this item:
- Tom Doan, . "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.
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