A state-space approach to calculating the Beveridge-Nelson decomposition
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References listed on IDEAS
- 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.
- Newbold, Paul, 1990.
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- Tom Doan, "undated". "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.
- John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 109(1), pages 241-265.
- 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.
- Arino, Miguel A. & Newbold, Paul, 1998.
"Computation of the Beveridge-Nelson decomposition for multivariate economic time series,"
Elsevier, vol. 61(1), pages 37-42, October.
- 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.
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