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Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series

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Cited by:

  1. GOMEZ-SORZANO, Gustavo Alejandro, 2007. "Decomposing Violence: Crime Cycles In The Twentieth Century In The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
  2. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.
  3. Chin Nam Low & Heather Anderson & Ralph D. Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Monash Econometrics and Business Statistics Working Papers 17/06, Monash University, Department of Econometrics and Business Statistics.
  4. Gomez-Sorzano, Gustavo, 2007. "Terrorist murder, cycles of violence, and terrorist attacks in New York City during the last two centuries," MPRA Paper 4200, University Library of Munich, Germany, revised 11 Feb 2007.
  5. Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph, 2006. "Single source of error state space approach to the Beveridge Nelson decomposition," Economics Letters, Elsevier, vol. 91(1), pages 104-109, April.
  6. Park, Cyn-Young & Majuca, Ruperto & Yap, Josef, 2010. "The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications," Working Papers on Regional Economic Integration 45, Asian Development Bank.
  7. Tan, Zhengxun & Liu, Juan & Chen, Juanjuan, 2021. "Detecting stock market turning points using wavelet leaders method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  8. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers B 05-2003, University of Bonn, ZEI - Center for European Integration Studies.
  9. Donald Robertson & Anthony Garratt & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542.
  10. Gómez-sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Missouri," MPRA Paper 4940, University Library of Munich, Germany, revised 15 Sep 2007.
  11. John P. Miller & Paul Newbold, 1995. "A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 403-413, July.
  12. Gómez-Sorzano, Gustavo, 2006. "Cycles of violence, and terrorist attacks index for the State of Ohio," MPRA Paper 4605, University Library of Munich, Germany, revised 25 Aug 2007.
  13. Cribari-Neto, Francisco, 1993. "The Cyclical Component in Brazilian GDP," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 13(1), April.
  14. Gómez-sorzano, Gustavo, 2007. "Cycles of violence, riots, and terrorist attacks index for the State of California," MPRA Paper 4547, University Library of Munich, Germany, revised 19 Aug 2007.
  15. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Michigan," MPRA Paper 5094, University Library of Munich, Germany, revised 30 Sep 2007.
  16. Huiru Zhao & Haoran Zhao & Sen Guo & Fuqiang Li & Yuou Hu, 2016. "The Impact of Financial Crisis on Electricity Demand: A Case Study of North China," Energies, MDPI, vol. 9(4), pages 1-13, March.
  17. Gómez-Sorzano, Gustavo, 2006. "Decomposing violence: terrorist murder and attacks in New York State from 1933 to 2005," MPRA Paper 3776, University Library of Munich, Germany, revised 01 Jul 2007.
  18. Philip Liu, 2010. "The Effects of International Shocks on Australia's Business Cycle," The Economic Record, The Economic Society of Australia, vol. 86(275), pages 486-503, December.
  19. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
  20. Katsuyuki Shibayama, 2015. "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics 1518, School of Economics, University of Kent.
  21. Beyaert, Arielle & Quesada Medina, Alfonso J., 2001. "Computation of the Beveridge-Nelson decomposition in the case of cointegrated systems with I(0) variables," Economics Letters, Elsevier, vol. 72(3), pages 283-289, September.
  22. Sen Guo & Haoran Zhao & Huiru Zhao, 2017. "A New Hybrid Wind Power Forecaster Using the Beveridge-Nelson Decomposition Method and a Relevance Vector Machine Optimized by the Ant Lion Optimizer," Energies, MDPI, vol. 10(7), pages 1-20, July.
  23. Victor Gomez & Jorg Breitung, 1999. "The Beveridge–Nelson Decomposition: A Different Perspective with New Results," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 527-535, September.
  24. Jesus Felipe, 2009. "Does Pakistan Need To Adopt Inflation Targeting? Some Questions," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 5, pages 113-162.
  25. Martyna Marczak & Thomas Beissinger, 2013. "Real wages and the business cycle in Germany," Empirical Economics, Springer, vol. 44(2), pages 469-490, April.
  26. Binder, Michael & Offermanns, Christian J., 2014. "Globalization and international business cycle dynamics: A conditional GVAR approach," Discussion Papers 2014/24, Free University Berlin, School of Business & Economics.
  27. Chen, Chao-Chun & Tsay, Wen-Jen, 2006. "The Beveridge-Nelson decomposition of Markov-switching processes," Economics Letters, Elsevier, vol. 91(1), pages 83-89, April.
  28. Gambacorta, Leonardo, 2008. "How do banks set interest rates?," European Economic Review, Elsevier, vol. 52(5), pages 792-819, July.
  29. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence and terrorist attacks index for the State of Arizona," MPRA Paper 4360, University Library of Munich, Germany, revised 04 Aug 2007.
  30. Gomez-Sorzano, Gustavo, 2006. "Decomposing violence: terrorist murder in the twentieth century in the U.S," MPRA Paper 1145, University Library of Munich, Germany, revised 11 Nov 2006.
  31. Anelí Bongers & José L. Torres & Jesús Rodríguez, 2010. "Caracterización del ciclo económico en Andalucía 1980 - 2008," Economic Working Papers at Centro de Estudios Andaluces E2010/08, Centro de Estudios Andaluces.
  32. João Sousa Andrade & António Portugal Duarte, 2014. "Output-gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy," GEMF Working Papers 2014-06, GEMF, Faculty of Economics, University of Coimbra.
  33. Kamil, Nazrol & Masih, Mansur, 2016. "Shari’ah (islamic)compliant investments in Malaysia: influences of selected stock indices and their trend/cycle decomposition equity," MPRA Paper 100955, University Library of Munich, Germany.
  34. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  35. Morley, James C., 2002. "A state-space approach to calculating the Beveridge-Nelson decomposition," Economics Letters, Elsevier, vol. 75(1), pages 123-127, March.
  36. Shah Hussain, 2008. "Sources of Real Exchange Rate Misalignment Evidence from Pakistan," SBP Working Paper Series 26, State Bank of Pakistan, Research Department.
  37. Alexey Akimov & Simon Stevenson & James Young, 2015. "Synchronisation and commonalities in metropolitan housing market cycles," Urban Studies, Urban Studies Journal Limited, vol. 52(9), pages 1665-1682, July.
  38. Arino, Miguel A. & Newbold, Paul, 1998. "Computation of the Beveridge-Nelson decomposition for multivariate economic time series," Economics Letters, Elsevier, vol. 61(1), pages 37-42, October.
  39. Gómez-sorzano, Gustavo, 2007. "Terrorist murder, cycles of violence, and attacks index for the City of Philadelphia during the last two centuries," MPRA Paper 4783, University Library of Munich, Germany, revised 08 Sep 2007.
  40. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  41. Gómez-sorzano, Gustavo, 2007. "Cycles of violence, and attacks index for the State of Florida," MPRA Paper 4941, University Library of Munich, Germany, revised 16 Sep 2007.
  42. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Washington," MPRA Paper 4604, University Library of Munich, Germany, revised 25 Aug 2007.
  43. João Sousa Andrade & António Portugal Duarte, 2014. "Output-gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy," GEMF Working Papers 2014-06, GEMF, Faculty of Economics, University of Coimbra.
  44. Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
  45. Viorica Chirila, 2012. "Detrending Time Series and Business Cycles. The Romanian Case," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 4(4), pages 126-136, August.
  46. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
  47. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Oklahoma," MPRA Paper 5095, University Library of Munich, Germany, revised 30 Sep 2007.
  48. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Massachusetts," MPRA Paper 4342, University Library of Munich, Germany, revised 20 May 2007.
  49. Gómez-Sorzano, Gustavo, 2007. "Cycles of violence, and terrorist attacks index for the State of Arkansas," MPRA Paper 4606, University Library of Munich, Germany, revised 25 Aug 2007.
  50. Elbadawi, Ibrahim A & Soto, Raimundo, 1997. "Real Exchange Rates and Macroeconomic Adjustment in Sub-Saharan Africa and Other Developing Countries," Journal of African Economies, Centre for the Study of African Economies, vol. 6(3), pages 74-120, Supplemen.
  51. Anthony Garratt & Donald Robertson & Stephen Wright, 2004. "Inside the black box: permanent vs transitory components and economic fundamentals," Money Macro and Finance (MMF) Research Group Conference 2003 35, Money Macro and Finance Research Group.
  52. Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.
  53. Philip Liu, 2008. "The Role of International Shocks in Australia’s Business Cycle," RBA Research Discussion Papers rdp2008-08, Reserve Bank of Australia.
  54. Ariño, Miguel A. & Marmol, Francesc, 1998. "A beveridge-nelson decomposition for fractionally integrated time series," DES - Working Papers. Statistics and Econometrics. WS 6262, Universidad Carlos III de Madrid. Departamento de Estadística.
  55. Gómez-Sorzano, Gustavo, 2006. "Using the Beveridge & Nelson decomposition of economic time series for pointing out the occurrence of terrorist attacks," MPRA Paper 3388, University Library of Munich, Germany, revised 22 Mar 2007.
  56. Hossain, Ferdaus, 1995. "Current account determination in the intertemporal framework: an empirical analysis," ISU General Staff Papers 1995010108000011939, Iowa State University, Department of Economics.
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