• Title of article

    A state–space approach to calculating the Beveridge–Nelson decomposition

  • Author/Authors

    James C. Morley، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    5
  • From page
    123
  • To page
    127
  • Abstract
    A state–space approach provides a general unified framework for calculation of the Beveridge–Nelson decomposition for a wide variety of time series models, including all univariate and vector ARIMA models.
  • Keywords
    Beveridge–Nelson decomposition , Kalman filter , state–space models
  • Journal title
    Economics Letters
  • Serial Year
    2002
  • Journal title
    Economics Letters
  • Record number

    434910

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=434910