Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2024-11-01
Number: 24-003/III
Author-Name: Francisco Blasques
Author-Workplace-Name: Vrije Universiteit Amsterdam 
Author-Name: Janneke van Brummelen
Author-Workplace-Name: Vrije Universiteit Amsterdam 
Author-Name: Paolo Gorgi
Author-Workplace-Name: Vrije Universiteit Amsterdam 
Author-Name: Siem Jan Koopman
Author-Workplace-Name: Vrije Universiteit Amsterdam 
Title: A robust Beveridge-Nelson decomposition using a score-driven approach with an application
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.
Classification-JEL: C22, E32
Keywords: trend and cycle, filtering, autoregressive integrated moving average model, score-driven model, heavy-tailed distributions
File-URL: https://papers.tinbergen.nl/24003.pdf
File-Format: application/pdf
File-Size: 511.065 bytes
Handle: RePEc:tin:wpaper:20240003