A multivariate innovations state space Beveridge–Nelson decomposition |
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Authors: | Ashton de Silva Rob J. Hyndman Ralph Snyder |
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Affiliation: | aSchool of Economics, Finance and Marketing, RMIT University, VIC 3000, Australia;bDepartment of Econometrics and Business Statistics, Monash University, VIC 3800, Australia |
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Abstract: | The Beveridge–Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In particular, it is shown that this new specification is simpler than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GDP of Australia, the USA and the UK. |
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Keywords: | Vector innovations structural time series model Multivariate time series model Beveridge– Nelson decomposition Common components |
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