论文信息 - A Beveridge-Nelson smoother

A Beveridge-Nelson smoother

Abstract This note defines a Beveridge–Nelson smoother, that is a two-sided signal extraction filter for trends. The smoother is shown to be the optimal estimator of the trend when the ARIMA model can be decomposed into an uncorrelated random walk trend and stationary cycle components. The conditions under which such a decomposition is possible are discussed.

Tommaso Proietti | Andrew Harvey

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