A robust Beveridge-Nelson decomposition using a score-driven approach with an application
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- 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).
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More about this item
Keywords
trend and cycle; filtering; autoregressive integrated moving average model; score-driven model; heavy-tailed distributions;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-10-14 (Econometrics)
- NEP-ETS-2024-10-14 (Econometric Time Series)
- NEP-IPR-2024-10-14 (Intellectual Property Rights)
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