Relevant bibliographies by topics / Beveridge-Nelson-Decomposition

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Academic literature on the topic 'Beveridge-Nelson-Decomposition'

Author: Grafiati
Published: 4 June 2021
Last updated: 15 February 2022

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Journal articles on the topic "Beveridge-Nelson-Decomposition"

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Proietti, Tommaso. "The Multistep Beveridge–Nelson Decomposition." Econometric Reviews 35, no. 3 (September 25, 2014): 373–95. http://dx.doi.org/10.1080/07474938.2014.966631.

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Morley, James C. "THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION." Macroeconomic Dynamics 15, no. 3 (June 10, 2010): 419–39. http://dx.doi.org/10.1017/s1365100510000118.

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The Beveridge–Nelson decomposition calculates trend and cycle for an integrated time series. However, there are two ways to interpret the results from the decomposition. One interpretation is that the optimal long-run forecast (minus any deterministic drift) used to calculate the Beveridge–Nelson trend corresponds to an estimate of an unobserved permanent component. The other interpretation is that the optimal long-run forecast defines an observable permanent component. This paper examines some issues surrounding these two interpretations and provides empirical support for interpreting the Beveridge–Nelson trend as an estimate when considering macroeconomic data.
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Proietti, Tommaso. "The beveridge-nelson decomposition: Properties and extensions." Journal of the Italian Statistical Society 4, no. 1 (February 1995): 101–24. http://dx.doi.org/10.1007/bf02589061.

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Cuddington, John T., and L. Alan Winters. "The Beveridge-Nelson decomposition of economic time series." Journal of Monetary Economics 19, no. 1 (January 1987): 125–27. http://dx.doi.org/10.1016/0304-3932(87)90032-8.

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Miller, Stephen M. "The Beveridge-Nelson decomposition of economic time series." Journal of Monetary Economics 21, no. 1 (January 1988): 141–42. http://dx.doi.org/10.1016/0304-3932(88)90051-7.

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de Silva, Ashton, Rob J. Hyndman, and Ralph Snyder. "A multivariate innovations state space Beveridge–Nelson decomposition." Economic Modelling 26, no. 5 (September 2009): 1067–74. http://dx.doi.org/10.1016/j.econmod.2009.04.004.

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Murasawa, Yasutomo. "The Beveridge–Nelson decomposition of mixed-frequency series." Empirical Economics 51, no. 4 (January 2, 2016): 1415–41. http://dx.doi.org/10.1007/s00181-015-1061-5.

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Chen, Chao-Chun, and Wen-Jen Tsay. "The Beveridge–Nelson decomposition of Markov-switching processes." Economics Letters 91, no. 1 (April 2006): 83–89. http://dx.doi.org/10.1016/j.econlet.2005.11.002.

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Nelson, Charles R. "The Beveridge–Nelson decomposition in retrospect and prospect." Journal of Econometrics 146, no. 2 (October 2008): 202–6. http://dx.doi.org/10.1016/j.jeconom.2008.08.008.

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Andrić, Vladimir, and Sanja Nenadović. "Laplace, Hansen-Sargent and Beveridge-Nelson a note towards unified business application." Serbian Journal of Management 16, no. 1 (2021): 39–47. http://dx.doi.org/10.5937/sjm16-30877.

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The paper derives the equivalence condition between the Beveridge-Nelson decomposition and the Hansen-Sargent prediction formula in continuous time using Laplace transforms. The results presented show how the Hansen-Sargent prediction formula is relevant not just for present value discounting but also for the trend-cycle decomposition of cash flow streams in corporate finance.
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Dissertations / Theses on the topic "Beveridge-Nelson-Decomposition"

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Nastansky, Andreas, and Hans Gerhard Strohe. "Konsumausgaben und Aktienmarktentwicklung in Deutschland : ein kointegriertes vektorautoregressives Modell." Universität Potsdam, 2011. http://opus.kobv.de/ubp/volltexte/2011/5377/.

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Vektorfehlerkorrekturmodelle (VECM) erlauben es, Abhängigkeiten zwischen den Veränderungen mehrerer potenziell endogener Variablen simultan zu modellieren. Die Idee, ein langfristiges Gleichgewicht gleichzeitig mit kurzfristigen Veränderungen zu modellieren, lässt sich vom Eingleichungsansatz des Fehlerkorrekturmodells (ECM) zu einem Mehrgleichungsansatz für Variablenvektoren (VECM) verallgemeinern. Die Anzahl der kointegrierenden Beziehungen und die Koeffizientenmatrizen werden mit dem Johansen-Verfahren geschätzt. An einer einfachen Verallgemeinerung einer Konsumfunktion wird die Schätzung und Wirkungsweise eines VECM für Verbrauch, Einkommen und Aktienkurse in Deutschland gezeigt. Die Anwendung der Beveridge- Nelson-(BN)-Dekomposition auf vektorautoregressive Prozesse ermöglicht zudem, Abhängigkeiten zwischen den aus den kointegrierten Zeitreihen extrahierten zyklischen Komponenten zu schätzen.
Vector error correction models (VECM) allow to simultaneously model dependencies between the changes of several potentially endogenous variables. The idea is the modelling of a long-run equilibrium together with the short-run dynamics. Therefore a single equation approach (ECM) can be generalised to a multi equation approach (VECM) for variable vectors. The number of cointegration relations and the coefficient matrices are estimated with the Johansen procedure. The estimation of a VECM for income, consumption and stock prices for Germany is demonstrated by using a generalised consumption function. The Beveridge-Nelson-(BN)-Decomposition procedure for vectorautoregressive processes allows extracting cyclical components of cointegrated time series and estimating the degree of co-movement between these transitory components.
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Nastansky, Andreas, Alexander Mehnert, and Hans Gerhard Strohe. "A vector error correction model for the relationship between public debt and inflation in Germany." Universität Potsdam, 2014. http://opus.kobv.de/ubp/volltexte/2014/5024/.

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In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating national debt. The transmission from public debt to inflation through money supply and long-term interest rate will be shown in the paper. Based on these theoretical thoughts, the variables public debt, consumer price index, money supply m3 and long-term interest rate will be analysed within a vector error correction model estimated by Johansen approach. In the empirical part of the article, quarterly data for Germany from 1991 by 2010 are to be examined.
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Masák, Štěpán. "Beveridgeův-Nelsonův rozklad a jeho aplikace." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-350820.

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In this work we deal with the Beveridge-Nelson decomposition of a linear process into a trend and a cyclical component. First, we generalize the decom- position for multidimensional linear process and then we use it to prove some of the limit theorems for the process and its special cases, processes VAR and VARMA. Further, we define the concept of cointegration and introduce the po- pular VEC model for cointegrated time series. Finally, we show a method how to deal with infinite sums appearing in calculation of the Beveridge-Nelson decom- position and apply it to real data. Then we compare the results of this method with approximations using partial sums.
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Book chapters on the topic "Beveridge-Nelson-Decomposition"

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Low, Chin Nam, and Heather M. Anderson. "Economic Applications: The Beveridge–Nelson Decomposition." In Forecasting with Exponential Smoothing, 325–37. Berlin, Heidelberg: Springer Berlin Heidelberg, 2008. http://dx.doi.org/10.1007/978-3-540-71918-2_20.

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Gómez, Víctor. "The Relationship Between the Beveridge–Nelson Decomposition and Exponential Smoothing." In Time Series Analysis and Forecasting, 47–60. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-28725-6_4.

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