BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Performs the Beveridge-Nelson decomposition on a single series. Beveridge and Nelson(1981), "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components", J. of Monetary Economics, vol 7, 151-174. The algorithm used is from Newbold(1990), "Precise and Efficient Computation of the Beveridge-Nelson Decomposition of Economic Time Series," J. of Monetary Economics, vol 26, 453-7.

Language: RATS
Requires: RATS 6.10
Keywords: Detrending; Beviridge-Nelson decomposition (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/bndecomp.src (text/plain)

Related works:
Journal Article: Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00028

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