A Beveridge-Nelson smoother

Authors
Proietti, T Harvey, A
Citation
T. Proietti et A. Harvey, A Beveridge-Nelson smoother, ECON LETT, 67(2), 2000, pp. 139-146
Citations number
5
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
67
Issue
2
Year of publication
2000
Pages
139 - 146
Database
ISI
SICI code
0165-1765(200005)67:2<139:ABS>2.0.ZU;2-E
Abstract
This note defines a Beveridge-Nelson smoother, that is a two-sided signal e xtraction filter for trends. The smoother is shown to be the optimal estima tor of the trend when the ARIMA model can be decomposed into an uncorrelate d random walk trend and stationary cycle components. The conditions under w hich such a decomposition is possible are discussed. (C) 2000 Elsevier Scie nce S.A. All rights reserved. JEL classification: C22.