A Beveridge-Nelson smoother

Economics Letters

Volumn 67, Issue 2, 2000, Pages 139-146

  Proietti, Tommaso ^a   Harvey, Andrew ^b  

^a UNIVERSITY OF UDINE   (Italy)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

C22; Decomposition; Kalman filter and smoother; Signal extraction; Unobserved components; Wiener Kolmogorov filter

Indexed keywords

EID: 0034410039     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(99)00276-1     Document Type: Article

References (6)

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3. Burridge P., Wallis K.F. Prediction theory for autoregressive-moving average processes. Econometric Reviews. 7:1988;65-69.
4. Harvey A.C., Koopman S.J. Signal Extraction and the Formulation of Unobserved Component Models. 1999;Faculty of Economics and Politics, University of Cambridge.
5. Lippi M., Reichlin L. On persistence of shocks to economic variables. A common misconception. Journal of Monetary Economics. 29:1992;87-93.
6. Watson M.W. Univariate detrending methods with stochastic trends. Journal of Monetary Economics. 18:1986;49-75.