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1998-03-16Buch DOI: 10.18452/3723
The Beveridge-Nelson Decomposition
dc.contributor.authorGómez, Víctor
dc.contributor.authorBreitung, Jörg
dc.date.accessioned2017-06-15T21:55:06Z
dc.date.available2017-06-15T21:55:06Z
dc.date.created2006-01-27
dc.date.issued1998-03-16
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4375
dc.description.abstractWe show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared sense) compute the estimates of the components in the generalized decomposition. While the first algorithm is very fast and easy to implement, the second can also provide the standard errors of the estimated components. The properties of the implied filters are investigated and compared with those obtained using the model-based TRAMO/SEATS software package. The alternative methods are applied to the German unemployment series.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleThe Beveridge-Nelson Decomposition
dc.typebook
dc.subtitlea Different Perspective With New Results
dc.identifier.urnurn:nbn:de:kobv:11-10056728
dc.identifier.doihttp://dx.doi.org/10.18452/3723
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1998
local.edoc.container-issue26
local.edoc.container-year1998
local.edoc.container-erstkatid2135319-0

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