Economics at your fingertips  

Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration

Yasutomo Murasawa ()

Studies in Nonlinear Dynamics & Econometrics, 2022, vol. 26, issue 3, 387-415

Abstract: The dynamic IS equation implies that if the real interest rate is I(1), then so is the output growth rate with possible cointegration, and log output is I(2). This paper extends the Beveridge–Nelson decomposition to such a case, and develops a Bayesian method to obtain error bands. The method is valid whether log output is I(1) or I(2). The paper applies the method to US data to estimate the natural rates (or their permanent components) and gaps of output, inflation, interest, and unemployment jointly, and finds that allowing for cointegration gives much bigger estimates of the gaps for all variables.

Keywords: natural rate; output gap; trend-cycle decomposition; trend inflation; unit root; vector error correction model (VECM) (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: Bayesian multivariate Beveridge--Nelson decomposition of I(1) and I(2) series with cointegration (2019) Downloads
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:

Ordering information: This journal article can be ordered from

DOI: 10.1515/snde-2020-0049

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Page updated 2022-07-31
Handle: RePEc:bpj:sndecm:v:26:y:2022:i:3:p:387-415:n:4