Article ID Journal Published Year Pages File Type
5062681 Economics Letters 2006 6 Pages PDF
Abstract

We use single source of error state space models to perform Beveridge Nelson decompositions. These models exploit the perfect correlation between innovations in the permanent and transitory components, and their estimation incorporates direct estimation of the long-run multiplier.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Single source of error state space approach to the Beveridge Nelson decomposition
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