41,852 research outputs found
Beveridge-Nelson Decomposition with Markov Switching
No full textThis paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long run multiplier.Beveridge-Nelson decomposition, Markov switching, Single source of error state space models
The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks
No full textMany researchers believe that the Beveridge-Nelson decomposition leads to permanent and transitory components whose shocks are perfectly negatively correlated. Indeed, some even consider it to be a property of the decomposition. We demonstrate that the Beveridge-Nelson decomposition does not provide definitive information about the correlation between permanent and transitory shocks in an unobserved components model. Given an ARIMA model describing the evolution of U.S. real GDP, we show that there are many state space representations that generate the Beveridge-Nelson decomposition. These include unobserved components models with perfectly correlated shocks and partially correlated shocks. In our applications, the only knowledge we have about the correlation is that it lies in a restricted interval that does not include zero. Although the filtered estimates of the trend and cycle are identical for models with different correlations, the observationally equivalent unobserved components models produce different smoothed estimates.
Letter from Ivan Nelson to Robert F. Woodward, February 7, 1961
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Fabulas do gol : as cronicas esportivas de Nelson Rodrigues
No full textDissertação (mestrado) - Universidade Federal de Santa Catarina, Centro de Comunicação e ExpressãoO primeiro volume reúne a série completa das crônicas esportivas que Nelson Rodrigues publicou na revista Manchete Esportiva entre novembro de 1955 e maio de 1959, somando 156 artigos, dos quais 99 são inéditos em livro. O segundo volume inicia uma leitura dessas crônicas a partir de pressupostos teóricos de Mikhail Bakhtin, utilzando dele conceitos como cronotopo, dialogismo e carnavalização. A leitura aborda a importância dessas crônicas na conformação da imagem do seu autor e na compreensão de sua riqueza estilística, considerando-as como território em que duas representações - esporte e narrativa - se articulam
A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
No full textYield curve models of the Nelson and Siegel (1987) class have proven themselves popular empirical tools in finance and economics, but they lack a formal theoretical justification. Hence, this article uses a multifactor version of the Cox, Ingersoll and Ross (1985a) continuous-time general-equilibrium economy to derive a macroeconomic foundation for a theoretically-consistent version of the Nelson and Siegel class of yield curve models. It is established that the level and shape of the yield curve as represented by NS models may be explained succinctly in terms of expectations of inflation and real output growth within an underlying economic model. This theoretically-rigorous yet parsimonious and intuitive framework is applicable as a macro-finance tool, and the application in this article provides a ready interpretation of a series of empirical results from the macro-finance literature that relate the level and slope of the yield curve to output growth and inflation.yield curve; term structure of interest rates; macro-finance; Nelson and Siegel model; Heath-Jarrow-Morton framework
A multivariate innovations state space Beveridge Nelson decomposition
No full textThe Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that this new speci¯cation is more simple than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GD(N)P of Australia, America and the UK.vector innovation structural time series; multivariate time series; Bev- eridge Nelson; common components
Madoline [music] /
No full text880 (Publisher number). Caption title.; Engraved.; Pl. no.: 880.; "As sung by Mr. John Gregg, at Mr. Winterbottom's concerto" -- Cover.; Printed by F. Cunninghame.; Published in: Australian music.; Also available online http://nla.gov.au/nla.mus-vn3621399
King Jack of Haylands : a tale of school life /
No full textBy F. M. S.--cf. B. M.Mode of access: Internet
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?
No full textThis paper reconciles two widely-used decompositions of GDP into trend and cycle that yield starkly different results. Beveridge-Nelson (BN) implies that a stochastic trend accounts for most of the variation in output, while Unobserved-Components (UC) implies cyclical variation is dominant. Which is correct has broad implications for the relative importance of real versus nominal shocks. We show the difference arises from the restriction imposed in UC that trend and cycle innovations are uncorrelated. When this restriction is relaxed, the UC decomposition is identical to the BN decomposition. Furthermore, the zero correlation restriction can be rejected for U.S. quarterly GDP, with the estimated correlation being –0.9.
Madoline [music] /
No full text880 (Publisher number). Caption title.; Engraved.; Pl. no.: 880.; "As sung by Mr. John Gregg, at Mr. Winterbottom's concerto" -- Cover.; Printed by F. Cunninghame.; Publication date from G. Skinner (2011), 'Toward a general history of Australian musical composition: first national music, 1788-c.1860', Sydney Conservatorium of Music, p. 488 http://trove.nla.gov.au/work/81022028; Also available online http://nla.gov.au/nla.mus-an5352824; MUS: N, HINCE 1/1802
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