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Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series

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  • Newbold, Paul
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    Performs the Beveridge-Nelson decomposition on a single series. Beveridge and Nelson(1981), "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components", J. of Monetary Economics, vol 7, 151-174. The algorithm used is from Newbold(1990), "Precise and Efficient Computation of the Beveridge-Nelson Decomposition of Economic Time Series," J. of Monetary Economics, vol 26, 453-7.

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    Article provided by Elsevier in its journal Journal of Monetary Economics.

    Volume (Year): 26 (1990)
    Issue (Month): 3 (December)
    Pages: 453-457

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    Handle: RePEc:eee:moneco:v:26:y:1990:i:3:p:453-457
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