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Single source of error state space approach to the Beveridge Nelson decomposition
13 references·4 citing·43 second hop
Single source of error state space approach to the Beveridge Nelson decomposition (2006)Single source of error state space approa…Backward and Forward Solutions for Economies with Rational Expectations (2007)Backward and Forward Solution…A Companion to Economic Forecasting (2004)A Companion to Economic Forec…A Companion to Economic Forecasting (2004)A Companion to Economic Forec…Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …A state–space approach to calculating the Beveridge–Nelson decomposition (2002)A state–space approach to cal…Detrending and business cycle facts (1998)Detrending and business cycle…Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series (1990)Precise and efficient computa…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Variable Trends in Economic Time Series (1988)Variable Trends in Economic T…The Beveridge-Nelson decomposition of economic time series (1988)The Beveridge-Nelson decompos…Permanent and Transitory Components in Macroeconomic Fluctuations (1987)Permanent and Transitory Comp…Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Excess shocks can limit the economic interpretation (2022)Excess shocks can limit the e…TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP (2014)TREND IN CYCLE OR CYCLE IN TR…The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach (2010)The Credit Channel and Moneta…Monetary Transmission in an Emerging Targeter (2008)Monetary Transmission in an E…The monetary dynamics of hyperinflation (1956)Rational Expectations and the Theory of Price Movements (1961)Some International Evidence on Output-Inflation Tradeoffs. (1973)Identification of rational expectations models (1981)Selection criteria for models with non-uniqueness (1986)Manufacturing Stocks: Expectations, Risk and Co-Integration (1990)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Trends and random walks in macroeconmic time series (1982)Common stochastic trends in international stock markets (1992)Low frequency filtering and real business cycles (1993)Permanent and Transitory Components of GNP and Stock Prices (1994)A Suggested Framework for Classifying the Modes of Cycle Research (2005)Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter (2017)Global factors and trend inflation (2019)Time to Build and Aggregate Fluctuations (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Postwar U.S. Business Cycles: An Empirical Investigation (1997)How do business and financial cycles interact? (2012)Macrofinancial History and the New Business Cycle Facts (2017)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Are Output Fluctuations Transitory? (1987)How Big Is the Random Walk in GNP? (1988)Sectoral and national aggregate disturbances to industrial output in seven European countries (1988)Partisan theory after fifteen years (1992)Chapter 46 Unit roots, structural breaks and trends (1994)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)COINTEGRATION AND UNIT ROOTS (1990)Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models (1996)The impact of natural resources, energy consumption, and population growth on environmental quality: Fresh evidence from the United States of America (2020)Forecasting spot and forward prices in the international freight market (2006)DIRECT MULTI‐STEP ESTIMATION AND FORECASTING (2007)The New Palgrave Dictionary of Economics Online (2008)The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)The Asymmetric Business Cycle (2010)Less than 2 °C warming by 2100 unlikely (2017)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1998Detrending and business cycle facts922 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1988Variable Trends in Economic Time Series673 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited
  • 1987Permanent and Transitory Components in Macroeconomic Fluctuations253 cited
  • 2004A Companion to Economic Forecasting211 cited
  • 2007Backward and Forward Solutions for Economies with Rational Expectations149 cited
  • 2002A state–space approach to calculating the Beveridge–Nelson decomposition125 cited
  • 2004A Companion to Economic Forecasting88 cited
  • 1990Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series73 cited
  • 1988The Beveridge-Nelson decomposition of economic time series49 cited

Cited by

  • 2010The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach30 cited

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2008
Monetary Transmission in an Emerging Targeter
29 cited
  • 2014TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP19 cited
  • 2022Excess shocks can limit the economic interpretation18 cited