Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). A robust Beveridge–Nelson decomposition using a score-driven approach with an application Economics Letters, 236:1--5.
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Affiliated authors
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Publication year2024
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JournalEconomics Letters
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.