24-003/III - A robust Beveridge-Nelson decomposition using a score-driven approach with an application

• Authors
  Francisco Blasques, Vrije Universiteit Amsterdam ; Janneke van Brummelen, Vrije Universiteit Amsterdam ; Paolo Gorgi, Vrije Universiteit Amsterdam ; Siem Jan Koopman, Vrije Universiteit Amsterdam
• Publication date
  January 11, 2024

• Keywords
  trend and cycle, filtering, autoregressive integrated moving average model, score-driven model, heavy-tailed distributions
• JEL
  C22, E32