The Beveridge-Nelson decomposition of economic time series

John T. Cuddington · L. Alan Winters

55 citations0/0 files storedJournal of Monetary Economics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

Abstract

This note describes a much simpler computational method for carrying out the Beveridge and Nelson decomposition of economic time series into permanent and cyclical components.

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1977Time Series Analysis: Forecasting and Control 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

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