MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes a multivariate Beveridge-Nelson decomposition of a set of series via a vector autoregression. Arino and Newbold(1998), "Computation of the Beveridge-Nelson Decomposition for Multivariate Economic Time Series", Economic Letters, vol 61, 37-42.

Language: RATS
Requires: RATS 5.10
Keywords: 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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Downloads: (external link)
https://www.estima.com/procs_perl/mvbndecomp.src (text/plain)

Related works:
Journal Article: Computation of the Beveridge-Nelson decomposition for multivariate economic time series (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00140

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