IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00779344.html

The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions

Author

Listed:
  • Giacomo Sbrana

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

Abstract

The econometric literature has recently focused attention on the relationship between the Beveridge-Nelson decomposition and unobserved components processes when decomposing time series into permanent and transitory shocks. This paper shows the existence of an algebraic linkage between reduced and structural forms parameters of some unobserved components processes. Results allow measuring how close standard unobserved components processes and unrestricted ARIMA models are regardless of the number of structural/reduced form parameters. Results are provided when the reduced forms are ARIMA(2,1,2) and ARIMA(0,2,2). For the latter, the exact relation between the Hodrick-Prescott filter and the IMA(2,2) reduced form is also shown. --------------------------------------------------------------------------------

Suggested Citation

  • Giacomo Sbrana, 2013. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Post-Print hal-00779344, HAL.
    • Handle: RePEc:hal:journl:hal-00779344
    DOI: 10.1016/j.econmod.2012.09.039
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Murasawa, Yasutomo, 2015. "The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series," Economics Letters, Elsevier, vol. 137(C), pages 157-162.
    2. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00779344. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.