The Beveridge–Nelson Decomposition: A Different Perspective with New Results

Victor Gomez and Jörg Breitung ()

Journal of Time Series Analysis, 1999, vol. 20, issue 5, 527-535

Abstract: We show that the decomposition proposed by Beveridge and Nelson (J. Monet. Econ. 7 (1981), 151–74) for models that are integrated of order 1 can be generalized to seasonal autoregressive integrated moving‐average models by means of a partial fraction decomposition. An algorithm which is very fast and easy to implement is proposed to optimally (in the mean squared sense) compute the estimates of the components in the generalized decomposition.

Date: 1999
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