Computation of the Beveridge-Nelson decomposition for multivariate economic time series
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- Tom Doan, "undated". "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.
References listed on IDEAS
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Cited by:
- Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.
- Donald Robertson & Anthony Garratt & Stephen Wright, 2006.
"Permanent vs transitory components and economic fundamentals,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542.
- Anthony Garratt & Donald Robertson & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542, May.
- Anthony Garratt & Donald Robertson & Stephen Wright, 2005. "Permanent vs Transitory Components and Economic Fundamentals," Birkbeck Working Papers in Economics and Finance 0501, Birkbeck, Department of Economics, Mathematics & Statistics.
- Huiru Zhao & Haoran Zhao & Sen Guo & Fuqiang Li & Yuou Hu, 2016. "The Impact of Financial Crisis on Electricity Demand: A Case Study of North China," Energies, MDPI, vol. 9(4), pages 1-13, March.
- Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024. "Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application," Tinbergen Institute Discussion Papers 24-062/III, Tinbergen Institute.
- Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
- Katsuyuki Shibayama, 2015. "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics 1518, School of Economics, University of Kent.
- Beyaert, Arielle & Quesada Medina, Alfonso J., 2001. "Computation of the Beveridge-Nelson decomposition in the case of cointegrated systems with I(0) variables," Economics Letters, Elsevier, vol. 72(3), pages 283-289, September.
- Hugo Oliveros C. & Carlos Huertas C., 2003.
"Desequilibrios nominales y reales del tipo de cambio en Colombia,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 21(43), pages 32-65, June.
- Hugo Oliveros C. & Carlos Huertas C., 2003. "Desequilibrios nominales y reales del tipo de cambio en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 21(43), pages 32-65, June.
- Kamil, Nazrol & Masih, Mansur, 2016. "Shari’ah (islamic)compliant investments in Malaysia: influences of selected stock indices and their trend/cycle decomposition equity," MPRA Paper 100955, University Library of Munich, Germany.
- Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
- Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
- Hugo Oliveros & Carlos Huertas, 2002. "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia.
- repec:bdr:ensayo:v::y:2003:i:43:p:32-65 is not listed on IDEAS
- Anthony Garratt & Donald Robertson & Stephen Wright, 2004. "Inside the black box: permanent vs transitory components and economic fundamentals," Money Macro and Finance (MMF) Research Group Conference 2003 35, Money Macro and Finance Research Group.
- Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.
- Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
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