The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions
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DOI: 10.1016/j.econmod.2012.09.039
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- Giacomo Sbrana, 2013. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Post-Print hal-00779344, HAL.
- Giacomo Sbrana, 2010. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Working Papers 10-09, Association Française de Cliométrie (AFC).
References listed on IDEAS
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Citations
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Cited by:
- Murasawa, Yasutomo, 2015.
"The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series,"
Economics Letters, Elsevier, vol. 137(C), pages 157-162.
- Murasawa, Yasutomo, 2015. "The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series," MPRA Paper 66319, University Library of Munich, Germany.
- Riccardo De Bonis & Andrea Silvestrini, 2014.
"The Italian financial cycle: 1861-2011,"
Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.
- Riccardo De Bonis & Andrea Silvestrini, 2013. "The Italian financial cycle: 1861-2011," Temi di discussione (Economic working papers) 936, Bank of Italy, Economic Research and International Relations Area.
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More about this item
Keywords
Beveridge–Nelson decomposition; Unobserved components processes; Local linear trend; ARIMA;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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