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

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dc.contributor.authorAnderson, Heather
dc.contributor.authorLow, Chin Nam
dc.contributor.authorSnyder, Ralph
dc.date.accessioned2015-12-07T22:18:57Z
dc.date.issued2006
dc.date.updated2015-12-07T08:29:09Z
dc.description.abstractWe 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.
dc.identifier.issn0165-1765
dc.identifier.urihttp://hdl.handle.net/1885/19088
dc.publisherElsevier
dc.sourceEconomics Letters
dc.subjectKeywords: Beveridge Nelson decomposition; Long-run multiplier; Single source of error; State space models
dc.titleSingle source of error state space approach to the Beveridge Nelson decomposition
dc.typeJournal article
local.bibliographicCitation.issue1
local.bibliographicCitation.lastpage109
local.bibliographicCitation.startpage104
local.contributor.affiliationAnderson, Heather, College of Business and Economics, ANU
local.contributor.affiliationLow, Chin Nam, Monash University
local.contributor.affiliationSnyder, Ralph, Monash University
local.contributor.authoruidAnderson, Heather, u3426640
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140303 - Economic Models and Forecasting
local.identifier.absfor140302 - Econometric and Statistical Methods
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.ariespublicationu9501697xPUB6
local.identifier.citationvolume91
local.identifier.doi10.1016/j.econlet.2005.11.005
local.identifier.scopusID2-s2.0-33645742891
local.type.statusPublished Version

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