The Beveridge-Nelson decomposition of Markov-switching processes

Economics Letters

Volumn 91, Issue 1, 2006, Pages 83-89

  Chen, Chao Chun ^b   Tsay, Wen Jen ^a  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b TUNGHAI UNIVERSITY   (Taiwan)

Author keywords

Beveridge Nelson decomposition; Markov switching

Indexed keywords

EID: 33645749005     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.11.002     Document Type: Article

References (12)

1. Beveridge S., and Nelson C.R. A new approach to the decomposition of economic time series into permanent and transitory component with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics 7 (1981) 151-174
2. Engel C., and Hamilton J.D. Long wings in the dollar: are they in the data and do market know it?. American Economic Review 80 (1990) 689-713
3. Garcia R., and Perron P. An analysis of the real interest rate under regime shifts. Review of Economic and Statistic 78 (1996) 111-125
4. Hamilton J.D. A new approach to the economic analysis of non-stationary time series and the business cycle. Econometrica 57 (1989) 357-384
5. Hamilton J.D. Time Series Analysis (1994), Princeton University Press, New Jersey
6. Hamilton J.D. State-space models. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. 4 (1994), North-Holland, Amstedam 3039-3080
7. Hamilton J.D., and Raj B. New directions in business cycle research and financial analysis. Empirical Economics 27 (2002) 149-162
8. Newbold P. Precise and efficient computation of the Beveridge-Nelson decomposition of economic time series. Journal of Monetary Economics 26 (1990) 453-457
9. Phillips K.L. A two-country model of stochastic output with change in regime. Journal of International Economics 31 (1991) 121-142
10. Rotemberg J.J. Price, output, and hours: an empirical analysis based on a sticky price model. Journal of Monetary Economics 37 (1996) 505-533
11. Rotemberg J.J., and Woodford M. Real-business-cycle models and the forecastable movements in output, hours and consumption. American Economic Review 86 (1996) 71-111
12. Watson M.W. Univariate detrending methods with stochastic trends. Journal of Monetary Economics 18 (1986) 49-75