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Beveridge-Nelson Decomposition with Markov Switching
Chin Nam Low,
Heather M. Anderson ()
Ralph David Snyder
Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
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
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Downloads: (external link) http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2006/wp17-06.pdf (application/pdf)
Related works: Working Paper: BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING (2006) Working Paper: Beveridge-Nelson Decomposition with Markov Switching (2006) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:msh:ebswps:2006-17
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