Proietti, Tommaso (2009): The Multistep BeveridgeNelson Decomposition.

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Abstract
The BeveridgeNelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its longrun path. The paper introduces the multistep BeveridgeNelson decomposition, which arises when the forecast function is obtained by the direct autoregressive approach, which optimizes the predictive ability of the AR model at forecast horizons greater than one. We compare our proposal with the standard BeveridgeNelson decomposition, for which the forecast function is obtained by iterating the onestepahead predictions via the chain rule. We illustrate that the multistep BeveridgeNelson trend is more efficient than the standard one in the presence of model misspecification and we subsequently assess the predictive validity of the extracted transitory component with respect to future growth.
Item Type:  MPRA Paper 

Original Title:  The Multistep BeveridgeNelson Decomposition 
Language:  English 
Keywords:  Trend and Cycle; Forecasting; Filtering. 
Subjects:  E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E32  Business Fluctuations ; Cycles E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E31  Price Level ; Inflation ; Deflation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  15345 
Depositing User:  Tommaso Proietti 
Date Deposited:  23. May 2009 17:42 
Last Modified:  12. Feb 2013 21:49 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/15345 