Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Yasutomo Murasawa
| 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) | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method | VAR-Modell | VAR model | Einheitswurzeltest | Unit root test | Bruttoinlandsprodukt | Gross domestic product | Bayes-Statistik | Bayesian inference | Produktionspotenzial | Potential output | Zustandsraummodell | State space model | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2020-0049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013334834