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MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language RATS Abstract
Computes a multivariate Beveridge-Nelson decomposition of a set of series via a vector autoregression. Arino and Newbold(1998), "Computation of the Beveridge-Nelson Decomposition for Multivariate Economic Time Series", Economic Letters, vol 61, 37-42.

Suggested Citation

  • Tom Doan, "undated". "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00140
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/mvbndecomp.src
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    Keywords

    Beviridge-Nelson decomposition; RATS;

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