A multivariate innovations state space Beveridge-Nelson decomposition

Ashton de Silva, Rob Hyndman and Ralph Snyder ()

Economic Modelling, 2009, vol. 26, issue 5, 1067-1074

Abstract: The Beveridge-Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In particular, it is shown that this new specification is simpler than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GDP of Australia, the USA and the UK.

Keywords: Vector; innovations; structural; time; series; model; Multivariate; time; series; model; Beveridge-Nelson; decomposition; Common; components (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Working Paper: A multivariate innovations state space Beveridge Nelson decomposition (2007)
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