A multivariate innovations state space Beveridge Nelson decomposition

MPRA Paper from University Library of Munich, Germany

Abstract: The Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that this new speci¯cation is more simple than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GD(N)P of Australia, America and the UK.

Keywords: vector innovation structural time series; multivariate time series; Bev- eridge Nelson; common components. (search for similar items in EconPapers)
JEL-codes: E32 C32 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mac
Date: Written 2007-10
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