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A state-space approach to calculating the Beveridge-Nelson decomposition

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  • Morley, James C.

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  • Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
  • Handle: RePEc:eee:ecolet:v:75:y:2002:i:1:p:123-127
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    References listed on IDEAS

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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. 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.
    4. 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.
    5. Arino, Miguel A. & Newbold, Paul, 1998. "Computation of the Beveridge-Nelson decomposition for multivariate economic time series," Economics Letters, Elsevier, vol. 61(1), pages 37-42, October.
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