Skip navigation
Skip navigation

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

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


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
Source: Economics Letters
DOI: 10.1016/j.econlet.2005.11.005


File Description SizeFormat Image
01_Anderson_Single_source_of_error_state_2006.pdf146.12 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator