BEVERIDGE‐NELSON‐TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS

Paul Newbold and Dimttrios Vougas

Journal of Time Series Analysis, 1996, vol. 17, issue 2, 151-169

Abstract: Abstract. Beveridge and Nelson (A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. J. Monet. Econ. 7 (1981), 151–74) introduced a decomposition into trend plus irregular components for time series generated by models that are integrated of order one. The components are functions of current and past, but not future, values of the series. Therefore, these components can be viewed as estimates available to an agent at the time. Moreover, the decomposition exists whenever the generating process is stationary after first differencing. In this paper we extend the decomposition to generating processes that are integrated of order two, and to the seasonal models of Box and Jenkins (Time Series Analysis, Forecasting and Control. San Francisco:Holden Day, 1970). The analysis leads to the estimation of stochastic growth rates, as well as component series. The methodology is applied to monthly UK industrial production data.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1996.tb00270.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:2:p:151-169

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().