A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Francisco Blasques, Janneke van Brummelen, Paolo Gorgi and Siem Jan Koopman
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Francisco Blasques: Vrije Universiteit Amsterdam
Paolo Gorgi: Vrije Universiteit Amsterdam

No 24-003/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge-Nelson decomposition.

Keywords: trend and cycle; filtering; autoregressive integrated moving average model; score-driven model; heavy-tailed distributions (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2024-11-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ipr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: A robust Beveridge–Nelson decomposition using a score-driven approach with an application (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20240003

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