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BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Performs the Beveridge-Nelson decomposition on a single series. Beveridge and Nelson(1981), "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components", J. of Monetary Economics, vol 7, 151-174. The algorithm used is from Newbold(1990), "Precise and Efficient Computation of the Beveridge-Nelson Decomposition of Economic Time Series," J. of Monetary Economics, vol 26, 453-7.

Suggested Citation

  • Tom Doan, "undated". "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00028
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/bndecomp.src
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