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The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

Citations

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Cited by:

  1. Blasques, F. & van Brummelen, J. & Gorgi, P. & Koopman, S.J., 2024. "A robust Beveridge–Nelson decomposition using a score-driven approach with an application," Economics Letters, Elsevier, vol. 236(C).
  2. Sbrana, Giacomo, 2013. "The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions," Economic Modelling, Elsevier, vol. 30(C), pages 311-316.
  3. Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper 12038, University Library of Munich, Germany.
  4. Trenkler, Carsten & Weber, Enzo, 2016. "On the identification of multivariate correlated unobserved components models," Economics Letters, Elsevier, vol. 138(C), pages 15-18.
  5. Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
  6. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
  7. Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper 46162, University Library of Munich, Germany.
  8. repec:dgr:rugsom:12009-eef is not listed on IDEAS
  9. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
  10. Robert Dixon & G. C. Lim, 2013. "A univariate model of aggregate labour productivity," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2695-2695, June.
  11. Dungey, Mardi & Jacobs, Jan & Tian, Jing & Norden, Simon van, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  12. Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
  13. Tommaso Proietti, 2021. "Predictability, real time estimation, and the formulation of unobserved components models," Econometric Reviews, Taylor & Francis Journals, vol. 40(5), pages 433-454, April.
  14. Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.
  15. Mardi Dungey & Jan P.A.M. Jacobs & Jing Jian & Simon van Norden, 2013. "Trend-Cycle Decomposition: Implications from an Exact Structural Identification," CIRANO Working Papers 2013s-23, CIRANO.
  16. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
  17. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
  18. Murasawa, Yasutomo, 2015. "The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series," Economics Letters, Elsevier, vol. 137(C), pages 157-162.
  19. Sbrana, Giacomo & Silvestrini, Andrea, 2023. "The RWDAR model: A novel state-space approach to forecasting," International Journal of Forecasting, Elsevier, vol. 39(2), pages 922-937.
  20. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 237-273, July.
  21. Xu, Zhiwei, 2008. "Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component," MPRA Paper 50053, University Library of Munich, Germany.
  22. Murasawa Yasutomo, 2022. "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 387-415, June.
  23. Sbrana, Giacomo & Silvestrini, Andrea, 2025. "The structural Theta method and its predictive performance in the M4-Competition," International Journal of Forecasting, Elsevier, vol. 41(3), pages 940-952.
  24. Boz, Emine & Daude, Christian & Bora Durdu, C., 2011. "Emerging market business cycles: Learning about the trend," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 616-631.
  25. Han, Yang & Liu, Zehao & Ma, Jun, 2020. "Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model," China Economic Review, Elsevier, vol. 63(C).
  26. Maddalena Cavicchioli, 2023. "Trend and cycle decomposition of Markov switching (co)integrated time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(5), pages 1381-1406, December.
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