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

被引：58

作者：

Morley, JC ^{[1
]}

机构：

[1] Washington Univ, Dept Econ, St Louis, MO 63130 USA

来源：

ECONOMICS LETTERS | 2002年 / 75卷 / 01期

关键词：

Beveridge-Nelson decomposition; state-space models; Kalman filter;

D O I：

10.1016/S0165-1765(01)00581-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A state-space approach provides a general unified framework for calculation of the Beveridge-Nelson decomposition for a wide variety of time series models, including all univariate and vector ARIMA models. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：123 / 127

页数：5

共 8 条

[1] Computation of the Beveridge-Nelson decomposition for multivariate economic time series [J].