A beveridge-nelson decomposition for fractionally integrated time series

Miguel A. Ariño and Francesc Marmol

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The purpose of this paper is to present a decomposition into trend or permanent component and cycle or transitory component of a time series that follows a nonstationary autoregressive fractionally integrated moving average (ARFlMA(p,d,q)) model. As a particular case, for d=l we obtain the well known BeveridgeNelson decomposition of a series. For d=2 we get the decomposition of an 1(2) series given by Newbold and Vougas (1996). The decomposition depends only on past data and is thus computable in real time. Computational issues are also discussed

Keywords: Beveridge-Nielson; decomposition; ARFIMA; processes; computation (search for similar items in EconPapers)
Date: 1998-09
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6262

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