The Beveridge-Nelson Decomposition of Mixed-Frequency Series
The Beveridge-Nelson Decomposition of Mixed-Frequency Series
复制标题
混合频率级数的 Beveridge-Nelson 分解
DOI：
10.1007/s00181-015-1061-5
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发表时间：
2016
影响因子：
3.2
通讯作者：
Yasutomo Murasawa
中科院分区：
文献类型：
--
作者：
Saigo;H;西郷浩;西郷浩;西郷浩;Hiroshi Saigo;西郷浩;西郷浩;Yasutomo Murasawa
混频贝叶斯VAR的Gibbs抽样按顺序提取潜在的高频序列和模型参数。在每个Gibbs步骤中应用多元Beveridge-Nelson(B-N)分解，可以模拟潜在的和可观测的高频序列中B-N永久分量和瞬时分量的联合后验分布。本文将这种方法应用于包括季度实际GDP在内的混频宏观经济变量序列，以联合估计月度自然增长率和产出、通货膨胀、利率和失业率的缺口。由此得出的月度实际GDP和GDP差值是互补的重合指数，分别衡量经典周期和偏离周期。
Gibbs sampling for Bayesian VAR with mixed-frequency series draws latent high-frequency series and model parameters sequentially. Applying the multivariate Beveridge–Nelson (B–N) decomposition in each Gibbs step, one can simulate the joint posterior distribution of the B–N permanent and transitory components in latent and observable high-frequency series. This paper applies the method to mixed-frequency series of macroeconomic variables including quarterly real GDP to estimate the monthly natural rates and gaps of output, inflation, interest, and unemployment jointly. The resulting monthly real GDP and GDP gap are complementary coincident indices, measuring classical and deviation cycles, respectively.