BEVERRIDGE 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 insorporates 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:	2006-07
Authors:	Low, Chin Nam ; Anderson, Heather ; Snyder, Ralph
Institutions:	College of Business and Economics, Australian National University

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Extent:	application/pdf
Series:	CAMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	21 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/10005532855