Single source of error state space approach to the Beveridge Nelson decomposition

Heather Anderson, Chin Nam Low and Ralph Snyder ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: A well known property of the Beveridge Nelson decomposition is that the innovations in the permanent and transitory components are perfectly correlated. We use a single source of error state space model to exploit this property and perform a Beveridge Nelson decomposition. The single source of error state space approach to the decomposition is computationally simple and it incorporates the direct estimation of the long-run multiplier.

JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2005-05
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Related works:
Journal Article: Single source of error state space approach to the Beveridge Nelson decomposition (2006)
Working Paper: Single Source of Error State Space Approach to the Beveridge Nelson Decomposition (2004)
Working Paper: Single Source of Error State Space Approach to the Beveridge Nelson Decomposition (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2005-11

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