The Beveridge-Nelson decomposition of Markov-switching processes

被引：3

作者：

Chen, CC

Tsay, WJ ^{[1
]}

机构：

[1] Acad Sinica, Inst Econ, Taipei 115, Taiwan

[2] Tunghai Univ, Dept Finance, Taichung 40704, Taiwan

来源：

ECONOMICS LETTERS | 2006年 / 91卷 / 01期

关键词：

Beveridge-Nelson decomposition; Markov-switching;

D O I：

10.1016/j.econlet.2005.11.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper modifies the well-known Beveridge-Nelson [Beveridge, S., Nelson, C.R., 1981. A new approach to the decomposition of economic time erie into permanent and transitory component with particular attention to measurement of the 'busines cycle', Journal of Monetary Economic 7, 151-174] decomposition to an N-state Markov-switching autoregressive (AR) model proposed by Hamilton [Hamilton, J.D., 1989. A new approach to the economic analy is of non-tationary time erie and the busine cycle, Econometrica 57, 357-384], and shows that this modified Beveridge-Nelson decomposition can be carried out without the necessity of truncating an infinite sum. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：83 / 89

页数：7

共 12 条

[1]

[Anonymous], 1995, HDB ECONOMETRICS

[2] A NEW APPROACH TO DECOMPOSITION OF ECONOMIC TIME-SERIES INTO PERMANENT AND TRANSITORY COMPONENTS WITH PARTICULAR ATTENTION TO MEASUREMENT OF THE BUSINESS-CYCLE [J].