Single source of error state space approach to the Beveridge Nelson decomposition

Heather M. Anderson; Chin Nam Low; Ralph Snyder

doi:10.1016/j.econlet.2005.11.005

Single source of error state space approach to the Beveridge Nelson decomposition

Heather M. Anderson^*, Chin Nam Low, Ralph Snyder

^*Corresponding author for this work

Indonesia Project

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

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.

Original language	English
Pages (from-to)	104-109
Number of pages	6
Journal	Economics Letters
Volume	91
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2005.11.005
Publication status	Published - Apr 2006

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title = "Single source of error state space approach to the Beveridge Nelson decomposition",

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 = "Beveridge Nelson decomposition, Long-run multiplier, Single source of error, State space models",

author = "Anderson, {Heather M.} and Low, {Chin Nam} and Ralph Snyder",

year = "2006",

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AU - Low, Chin Nam

AU - Snyder, Ralph

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AB - 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.

KW - Beveridge Nelson decomposition

KW - Long-run multiplier

KW - Single source of error

KW - State space models

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DO - 10.1016/j.econlet.2005.11.005

M3 - Article

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VL - 91

SP - 104

EP - 109

JO - Economics Letters

JF - Economics Letters

IS - 1

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Single source of error state space approach to the Beveridge Nelson decomposition

Abstract

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