The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions

Abstract : The econometric literature has recently focused attention on the relationship between the Beveridge-Nelson decomposition and unobserved components processes when decomposing time series into permanent and transitory shocks. This paper shows the existence of an algebraic linkage between reduced and structural forms parameters of some unobserved components processes. Results allow measuring how close standard unobserved components processes and unrestricted ARIMA models are regardless of the number of structural/reduced form parameters. Results are provided when the reduced forms are ARIMA(2,1,2) and ARIMA(0,2,2). For the latter, the exact relation between the Hodrick-Prescott filter and the IMA(2,2) reduced form is also shown. --------------------------------------------------------------------------------
Type de document :
Article dans une revue
Economic Modelling, Elsevier, 2013, Vol. 30, p. 311-316. 〈10.1016/j.econmod.2012.09.039〉
Liste complète des métadonnées

https://hal-rbs.archives-ouvertes.fr/hal-00779344
Contributeur : Sandrine Palmer <>
Soumis le : mardi 22 janvier 2013 - 10:16:51
Dernière modification le : mardi 22 janvier 2013 - 10:16:51

Identifiants

Collections

Citation

Giacomo Sbrana. The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions. Economic Modelling, Elsevier, 2013, Vol. 30, p. 311-316. 〈10.1016/j.econmod.2012.09.039〉. 〈hal-00779344〉

Partager

Métriques

Consultations de la notice

199