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Computation of the Beveridge-Nelson decomposition for multivariate economic time series

  • Arino, Miguel A.
  • Newbold, Paul
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    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.sciencedirect.com/science/article/B6V84-3TYG0VD-6/2/4ca9cd0932ff658073161aa19a22ac62
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 61 (1998)
    Issue (Month): 1 (October)
    Pages: 37-42

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    Handle: RePEc:eee:ecolet:v:61:y:1998:i:1:p:37-42
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Miller, Stephen M., 1988. "The Beveridge-Nelson decomposition of economic time series : Another economical computational method," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 141-142, January.
    2. 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.
    3. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    4. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
    5. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
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