Skip to main content
Article thumbnail
Location of Repository

Information

By George W. Evans and L Reichlin

Abstract

The Beveridge-Nelson (BN) technique provides a forecast based method of decomposing a variable, such as output, into trend and cycle when the variable is integrated of order one (I(1). This paper considers the multivariate generalization of the BN decomposition when the information set includes other I(1) and/or stationary variables. We show that the relative importance of the cyclical component depends on the information set, and in particular that multivariate BN decompositions necessarily ascribe more importance to the cyclical component than does the univariate decomposition, provides the information set includes a variable which Granger-causes output. We illustrate the results for post-WWII United States

Topics: HB Economic Theory
Publisher: Centre for Economic Performance, London School of Economics and Political Science
Year: 1992
OAI identifier: oai:eprints.lse.ac.uk:21011
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://cep.lse.ac.uk (external link)
  • http://eprints.lse.ac.uk/21011... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.