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A beveridge-nelson decomposition for fractionally integrated time series

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  • Ariño, Miguel A.
  • Mármol, Francesc

Abstract

The purpose of this paper is to present a decomposition into trend or permanent component and cycle or transitory component of a time series that follows a nonstationary autoregressive fractionally integrated moving average (ARFlMA(p,d,q)) model. As a particular case, for d=l we obtain the well known BeveridgeNelson decomposition of a series. For d=2 we get the decomposition of an 1(2) series given by Newbold and Vougas (1996). The decomposition depends only on past data and is thus computable in real time. Computational issues are also discussed

Suggested Citation

  • Ariño, Miguel A. & Mármol, Francesc, 1998. "A beveridge-nelson decomposition for fractionally integrated time series," DES - Working Papers. Statistics and Econometrics. WS 6262, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:6262
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    References listed on IDEAS

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    1. 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.
    2. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    3. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    4. 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.
    5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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