The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics
贝弗里奇—纳尔逊分解与其他永久—暂时分解的关系
The Beveridge-Nelson (BN) decomposition is a model-based method for decomposing time series into permanent and transitory components. When constructed from an ARIMA model, it is closely related to decompositions based on unobserved components (UC) models with random walk trends and covariance stationary cycles. The decomposition when extended to I(2) models can also be related to non-model-based signal extraction filters such as the HP filter. We show that the BN…