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A beveridge-nelson decomposition for fractionally integrated time series

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dc.affiliation.dptoUC3M. Departamento de EstadĆ­sticaes
dc.contributor.authorAriƱo, Miguel A.
dc.contributor.authorMarmol, Francesc
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĆ­stica
dc.date.accessioned2010-01-04T11:58:34Z
dc.date.available2010-01-04T11:58:34Z
dc.date.issued1998-09
dc.description.abstractThe 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
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6262
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries98-63-30
dc.rightsAtribuciĆ³n-NoComercial-SinDerivadas 3.0 EspaƱa
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĆ­stica
dc.subject.otherBeveridge-Nielson decomposition
dc.subject.otherARFIMA processes
dc.subject.othercomputation
dc.titleA beveridge-nelson decomposition for fractionally integrated time series
dc.typeworking paper*
dspace.entity.typePublication
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