Single Source of Error State Space Approach to the Beveridge Nelson Decomposition

Heather Anderson, Chin Nam Low () and Ralph Snyder ()

No 21/04, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: A well known property of the Beveridge Nelson decomposition is that the innovations in the permanent and transitory components are perfectly correlated. We use a single source of error state space model to exploit this property and perform a Beveridge Nelson decomposition. The single source of error state space approach to the decomposition is computationally simple, and in contrast to other methods of performing the Beveridge-Nelson decomposition, it incorporates the direct estimation of the long-run multiplier.

Keywords: Beveridge Nelson decomposition; Long-run multiplier; Single source of error; State-space models. (search for similar items in EconPapers)
JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-11
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2004/wp21-04.pdf (application/pdf)

Related works:
Journal Article: Single source of error state space approach to the Beveridge Nelson decomposition (2006)
Working Paper: Single source of error state space approach to the Beveridge Nelson decomposition (2005)
Working Paper: Single Source of Error State Space Approach to the Beveridge Nelson Decomposition (2004)
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:msh:ebswps:2004-21

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().