Anderson, HeatherLow, Chin NamSnyder, Ralph2015-12-070165-1765http://hdl.handle.net/1885/19088We 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.Keywords: Beveridge Nelson decomposition; Long-run multiplier; Single source of error; State space models200610.1016/j.econlet.2005.11.0052015-12-07