Oh, Kum Hwa; Zivot, Eric; Creal, Drew - In: Journal of Econometrics 146 (2008) 2, pp. 207-219
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...