A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Francisco Blasques, Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman

The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge-Nelson decomposition.

MoreLess

Year of publication:	[2024]
Authors:	Blasques, Francisco ; Brummelen, Janneke van ; Gorgi, Paolo ; Koopman, Siem Jan
Publisher:	Amsterdam, The Netherlands : Tinbergen Institute
Subject:	trend and cycle \| filtering \| autoregressive integrated moving average model \| score-driven model \| heavy-tailed distributions \| Zeitreihenanalyse \| Time series analysis \| ARMA-Modell \| ARMA model \| Dekompositionsverfahren \| Decomposition method \| Schätztheorie \| Estimation theory