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A robust Beveridge–Nelson decomposition using a score-driven approach with an application

Author

Listed:
  • Blasques, F.
  • van Brummelen, J.
  • Gorgi, P.
  • Koopman, S.J.

Abstract

The equivalence of the Beveridge–Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge–Nelson decomposition.

Suggested Citation

  • Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J., 2024. "A robust Beveridge–Nelson decomposition using a score-driven approach with an application," Economics Letters, Elsevier, vol. 236(C).
    • Handle: RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715
    DOI: 10.1016/j.econlet.2024.111588
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    More about this item

    Keywords

    Trend and cycle; Filtering; Autoregressive integrated moving average model; Score-driven model; Heavy-tailed distributions;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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