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

F. Blasques; J. van Brummelen; P. Gorgi; S. J. Koopman

doi:10.1016/j.econlet.2024.111588

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

F. Blasques, J. van Brummelen^*, P. Gorgi, S. J. Koopman

^*Corresponding author for this work

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

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.

Original language	English
Article number	111588
Pages (from-to)	1-5
Number of pages	5
Journal	Economics Letters
Volume	236
Early online date	6 Feb 2023
DOIs	https://doi.org/10.1016/j.econlet.2024.111588
Publication status	Published - Mar 2024

Bibliographical note

Publisher Copyright:
© 2024 The Author(s)

Funding

F. Blasques thanks the Dutch Research Council ( VI.Vidi.195.099 ) for support.

Funders	Funder number
Nederlandse Organisatie voor Wetenschappelijk Onderzoek	VI.Vidi.195.099

Keywords

Trend and cycle
Filtering
Autoregressive integrated moving average model
Score-driven model
Heavy-tailed distributions

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10.1016/j.econlet.2024.111588

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abstract = "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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AU - Gorgi, P.

AU - Koopman, S. J.

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AB - 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.

KW - Trend and cycle

KW - Filtering

KW - Autoregressive integrated moving average model

KW - Score-driven model

KW - Heavy-tailed distributions

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JO - Economics Letters

JF - Economics Letters

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ER -

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

Abstract

Bibliographical note

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Keywords

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