Beveridge-Nelson Decomposition with Markov Switching

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

No 17/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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

Keywords: Beveridge-Nelson decomposition; Markov switching; Single source of error state space models (search for similar items in EconPapers)
JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ets
Date: 2006-08
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Related works:
Working Paper: BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING (2006)
Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006)
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