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Single source of error state space approach to the Beveridge Nelson decomposition

Anderson, Heather; Low, Chin Nam; Snyder, Ralph

Description

We use single source of error state space models to perform Beveridge Nelson decompositions. These models exploit the perfect correlation between innovations in the permanent and transitory components, and their estimation incorporates direct estimation of the long-run multiplier.

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/19088
Source: Economics Letters
DOI: 10.1016/j.econlet.2005.11.005

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