A robust Beveridge-Nelson decomposition using a score-driven approach with an application
F. Blasques, J. van Brummelen, P. Gorgi, S. J. Koopman
| Year of publication: |
2024
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|---|---|
| Authors: | Blasques, F. ; Brummelen, Janneke van ; Gorgi, P. ; Koopman, Siem Jan |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 1460581-8. - Vol. 236.2024, Art.-No. 111588, p. 1-5
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| Subject: | Autoregressive integrated moving average model | Filtering | Heavy-tailed distributions | Score-driven model | Trend and cycle | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model | Dekompositionsverfahren | Decomposition method | Konjunktur | Business cycle |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2024.111588 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015071895