کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096983 | 1376562 | 2008 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trend/cycle decomposition of regime-switching processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Trend/cycle decomposition of regime-switching processes Trend/cycle decomposition of regime-switching processes](/preview/png/5096983.png)
چکیده انگلیسی
We present a new approach to trend/cycle decomposition of time series that follow regime-switching processes. The proposed approach, which we label the “regime-dependent steady-state” (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge and Nelson decomposition [Beveridge, S., Nelson, C.R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics 7, 151-174] to the setting where the reduced-form dynamics of a given series can be captured by a regime-switching forecasting model. For processes in which the underlying trend component follows a random walk with possibly regime-switching drift, the RDSS decomposition is optimal in a minimum mean-squared-error sense and is more broadly applicable than directly employing an Unobserved Components model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 146, Issue 2, October 2008, Pages 220-226
Journal: Journal of Econometrics - Volume 146, Issue 2, October 2008, Pages 220-226
نویسندگان
James Morley, Jeremy Piger,