Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055713 | Economic Modelling | 2009 | 8 Pages |
Abstract
The Beveridge-Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In particular, it is shown that this new specification is simpler than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GDP of Australia, the USA and the UK.
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Authors
Ashton de Silva, Rob J. Hyndman, Ralph Snyder,