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

C-Tier
Journal: Economics Letters
Year: 2024
Volume: 236
Issue: C

Authors (4)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:236:y:2024:i:c:s0165176524000715
Journal Field
General
Author Count
4
Added to Database
2026-01-25