Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-04-09
Handle: RePEc:eee:ecmode:v:26:y:2009:i:5:p:1067-1074