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首页> 外文期刊>Journal of Econometrics >The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
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The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics

机译：贝弗里奇-纳尔逊分解与经济学中流行的其他永久暂时分解之间的关系

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摘要

The Beveridge-Nelson (BN) decomposition is a model-based method for decomposing time series into permanent and transitory components. When constructed from an ARIMA model, it is closely related to decompositions based on unobserved components (UC) models with random walk trends and covariance stationary cycles. The decomposition when extended to 1(2) models can also be related to non-model-based signal extraction filters such as the HP filter. We show that the BN decomposition provides information onthe correlation between the permanent and transitory shocks in a certain class of UC models. The correlation between components is known to determine the smoothed estimates of components from UC models. The BN decomposition can also be used to evaluatethe efficacy of alternative methods. We also demonstrate, contrary to popular belief, that the BN decomposition can produce smooth cycles if the reduced form forecasting model is appropriately specified.
机译：贝弗里奇-尼尔森（BN）分解是一种基于模型的方法，可将时间序列分解为永久性和暂时性成分。当从ARIMA模型构建时，它与基于具有随机游动趋势和协方差平稳周期的非观测分量（UC）模型的分解密切相关。当扩展到1（2）模型时，分解还可能与基于非模型的信号提取滤波器（例如HP滤波器）有关。我们表明，BN分解提供了有关某类UC模型中永久性冲击和暂时性冲击之间的相关性的信息。已知组件之间的相关性可以从UC模型确定组件的平滑估计。 BN分解还可用于评估替代方法的功效。与普遍的看法相反，我们还证明，如果适当地指定了简化形式的预测模型，则BN分解会产生平稳的循环。

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