Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Year of publication: |
2022
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Authors: | Murasawa, Yasutomo |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 3, p. 387-415
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Subject: | natural rate | output gap | trend inflation | trend-cycle decomposition | unit root | vector error correction model (VECM) | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätzung | Estimation | Dekompositionsverfahren | Decomposition method | Theorie | Theory | Bayes-Statistik | Bayesian inference | Inflation | Einheitswurzeltest | Unit root test |
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