PRECISE AND EFFICIENT COMPUTATION OF THE BEVERIDGE-NELSON DECOMPOSITION OF ECONOMIC TIME-SERIES

被引：31

作者：

NEWBOLD, P

机构：

[1] University of Illinois, Champaign

来源：

JOURNAL OF MONETARY ECONOMICS | 1990年 / 26卷 / 03期

关键词：

D O I：

10.1016/0304-3932(90)90007-Q

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This note shows how the Beveridge-Nelson decomposition of economic time series can be precisely computed without the necessity for truncating infinite sums. The algorithm includes those of Beveridge and Nelson (1981) and Miller (1988) as special cases for particular models, correcting an error in the latter. © 1990.

引用

页码：453 / 457

页数：5

共 4 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].