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

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

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

Date

2006

Authors

Anderson, Heather

Low, Chin Nam

Snyder, Ralph

Publisher

Elsevier

Abstract

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.