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THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION
11 references·9 citing·41 second hop
THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION (2010)THE TWO INTERPRETATIONS OF THE BEVERIDGE–…Trend–Cycle Decompositions with Correlated Components (2006)Trend–Cycle Decompositions wi…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…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds (1992)The Relative Importance of Pe…The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds (1991)The Relative Importance of Pe…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…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…Specification Tests in Econometrics (1978)Specification Tests in Econom…A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output (2017)A Bayesian Model Comparison f…Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter (2016)Intuitive and Reliable Estima…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 TIME-VARYING EFFECTS OF PERMANENT AND TRANSITORY SHOCKS TO REAL OUTPUT (2014)THE TIME-VARYING EFFECTS OF P…Trend Inflation in Advanced Economies (2013)Trend Inflation in Advanced E…The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach (2010)The Credit Channel and Moneta…Filter-design and model-based analysis of trends and cycles in the presence of outliers and structural breaks (2009)Filter-design and model-based…Trend/cycle decomposition of regime-switching processes (2008)Trend/cycle decomposition of …The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics (2008)The relationship between the …Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? 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this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 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
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited
  • 1992The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds192 cited
  • 1991The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds166 cited
  • 2002A state–space approach to calculating the Beveridge–Nelson decomposition125 cited
  • 2006Trend–Cycle Decompositions with Correlated Components83 cited

Cited by

  • 2017A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output60 cited
  • 2008The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics55 cited

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2008
Trend/cycle decomposition of regime-switching processes
37 cited
  • 2016Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter33 cited
  • 2010The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach30 cited
  • 2013Trend Inflation in Advanced Economies28 cited
  • 2014THE TIME-VARYING EFFECTS OF PERMANENT AND TRANSITORY SHOCKS TO REAL OUTPUT24 cited
  • 2014TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP19 cited
  • 2009Filter-design and model-based analysis of trends and cycles in the presence of outliers and structural breaks15 cited