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