BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition
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 InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00028.
Programming language: RATS
Requires: RATS 6.10
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- 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.
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