A multivariate innovations state space Beveridge Nelson decomposition

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A multivariate innovations state space Beveridge Nelson decomposition

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de Silva, Ashton

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Ashton de Silva

Abstract

The Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that this new speci¯cation is more simple than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GD(N)P of Australia, America and the UK.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5431.

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Date of creation: Oct 2007
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Handle: RePEc:pra:mprapa:5431

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-10-27 (All new papers)
NEP-ECM-2007-10-27 (Econometrics)
NEP-ETS-2007-10-27 (Econometric Time Series)
NEP-FOR-2007-10-27 (Forecasting)
NEP-MAC-2007-10-27 (Macroeconomics)

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Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October. [Downloadable!] (restricted)
Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
Other versions:
- Farshid Vahid & Robert F. Engle, 1992. "Common Trends and Common Cycles," University of California at San Diego, Economics Working Paper Series 92-04, Department of Economics, UC San Diego.
Francisco Barillas & Christoph Schleicher, 2003. "Common Trends and Common Cycles in Canadian Sectoral Output," Working Papers 03-44, Bank of Canada. [Downloadable!]
Other versions:
- Christoph Schleicher & Francisco Barillas, 2005. "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005 214, Society for Computational Economics. [Downloadable!]
James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, 03. [Downloadable!] (restricted)
Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society. [Downloadable!]
Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, EconWPA. [Downloadable!]
Other versions:
- Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute. [Downloadable!]
James Morley & Charles Nelson & Eric Zivot, 2003. "Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?," Working Papers UWEC-2002-18-P, University of Washington, Department of Economics.
Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph, 2006. "Single source of error state space approach to the Beveridge Nelson decomposition," Economics Letters, Elsevier, vol. 91(1), pages 104-109, April. [Downloadable!] (restricted)
Other versions:
- Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers 21/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
- Chin Nam Low & Heather Anderson & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Econometric Society 2004 Australasian Meetings 242, Econometric Society. [Downloadable!]

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