Computation of the Beveridge-Nelson decomposition for multivariate economic time series

被引：8

作者：

Arino, MA

Newbold, P

机构：

[1] Univ Navarra, IESE, Barcelona 08034, Spain

[2] Univ Nottingham, Dept Econ, Nottingham NG7 2RD, England

来源：

ECONOMICS LETTERS | 1998年 / 61卷 / 01期

关键词：

VARMA models; trend-cycle decomposition;

D O I：

10.1016/S0165-1765(98)00131-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note shows how the result of Newbold (1990) [Newbold, P., 1990. Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series. Journal of Monetary Economics 26, 453-457] can be extended to the computation of the Beveridge-Nelson decomposition in the multivariate case, where series are generated by vector ARIMA models. A separate treatment is provided for the cointegrated case. (C) 1998 Elsevier Science S.A. All rights reserved.

引用

页码：37 / 42

页数：6

共 12 条

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