Beveridge-Nelson Decomposition with Markov Switching

This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long run multiplier.

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Year of publication:	2006-08
Authors:	Low, Chin Nam ; Anderson, Heather ; Snyder, Ralph D.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Beveridge-Nelson decomposition \| Markov switching \| Single source of error state space models

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 17/06 20 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005087574