Title of article
Computation of the Beveridge–Nelson decomposition for multivariate economic time series
Author/Authors
Miguel A. Ari?o، نويسنده , , Paul Newbold، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
37
To page
42
Abstract
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.
Keywords
VARMA models , Trend-cycle decomposition
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434640
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