BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING

Chin Nam Low, Heather M. Anderson and Ralph David Snyder ()

CAMA Working Papers from Australian National University, Centre for Applied Macroeconomic Analysis

Abstract: This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach insorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long-run multiplier.

JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: Written 2006-07

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http://cama.anu.edu.au/Working%20Papers/Papers/200 ... on_Snyder_182006.pdf (application/pdf)

Related works:
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006)
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006)
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