Title of article
A Beveridge–Nelson smoother
Author/Authors
Tommaso Proietti، نويسنده , , Andrew Harvey، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
8
From page
139
To page
146
Abstract
This note defines a Beveridge–Nelson smoother, that is a two-sided signal extraction filter for trends. The smoother is shown to be the optimal estimator of the trend when the ARIMA model can be decomposed into an uncorrelated random walk trend and stationary cycle components. The conditions under which such a decomposition is possible are discussed.
Keywords
Kalman filter and smoother , Unobserved components , Wiener–Kolmogorov filter , Decomposition , Signal extraction
Journal title
Economics Letters
Serial Year
2000
Journal title
Economics Letters
Record number
434733
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