Title of article
Single source of error state space approach to the Beveridge Nelson decomposition
Author/Authors
Heather M. Anderson، نويسنده , , Chin Nam Low، نويسنده , , Ralph Snyder، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
6
From page
104
To page
109
Abstract
We use single source of error state space models to perform Beveridge Nelson decompositions. These models exploit the perfect correlation between innovations in the permanent and transitory components, and their estimation incorporates direct estimation of the long-run multiplier
Keywords
State space models , Single source of error , Long-run multiplier , Beveridge Nelson decomposition
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435906
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