[R] Beveridge Nelson Decomposition
ezivot at u.washington.edu
Tue Feb 3 18:46:34 CET 2009
AFAIK there is no function to automatically compute the BN decomposition from
a univariate time series in R. However, it is easy to compute by brute force
from the output of an arima model fit to your data. A more elegant way would
be to put your model in state space form and use the technique described in
Morley's 2002 Econometrics Letters paper. You could easily use the functions
in the R package dlm for this. I show how to do this using S-PLUS in my
paper http://faculty.washington.edu/ezivot/statespacesurvey.pdf and the
examples can easily be translated into R.
Shruthi Jayaram wrote:
> Would anyone know if it is possible to run a Beveridge Nelson
> decomposition of a univariate time series object in R? I searched in the
> help files but didn't come across any potential methods.
> Thanks very much,
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