Publication: A beveridge-nelson decomposition for fractionally integrated time series
Loading...
Identifiers
Publication date
1998-09
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
The purpose of this paper is to present a decomposition into trend or permanent component and cycle or transitory component of a time series that follows a nonstationary autoregressive fractionally integrated moving average (ARFlMA(p,d,q)) model. As a particular case, for d=l we obtain the well known BeveridgeNelson decomposition of a series. For d=2 we get the decomposition of an 1(2) series given by Newbold and Vougas (1996). The decomposition depends only on past data and is thus computable in real time. Computational issues are also discussed
Description
Keywords
Beveridge-Nielson decomposition, ARFIMA processes, computation