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

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.

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Year of publication:	2024
Authors:	Blasques, Francisco ; van Brummelen, Janneke ; Gorgi, Paolo ; Koopman, Siem Jan
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	trend and cycle \| filtering \| autoregressive integrated moving average model \| score-driven model \| heavy-tailed distributions

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Series:	Tinbergen Institute Discussion Paper ; TI 2024-003/III
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1878159461 [GVK] hdl:10419/282900 [Handle]
Classification:	C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10014469831