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MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's

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  • Tom Doan

    () (Estima)

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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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File URL: http://www.estima.com/procs_perl/mvbndecomp.src
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00140.

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Programming language: RATS
Requires: RATS 5.10
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Handle: RePEc:boc:bocode:rts00140

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Related research

Keywords: Beviridge-Nelson decomposition;

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