Beveridge Nelson in real-time
Posted: Tue May 06, 2014 9:26 am
Hi all,
I've been using the BNdecomp add-in to calculate the Beveridge-Nelson decomposition - very handy and great that it is available.
But I am interested in looking at it in real time - the add-in requires de-meaned data and nobody knows what the sample mean will be in real-time.
So I thought it would be interesting to set it up in state-space an compare filtered estimates with smoothed.
Before I try it, has anyone done this before? I wondered whether the add-in might make use of state space?
And if anyone has done it for the Blanchard-Quah decomp, that would be great to see too.
Best,
Jamie
I've been using the BNdecomp add-in to calculate the Beveridge-Nelson decomposition - very handy and great that it is available.
But I am interested in looking at it in real time - the add-in requires de-meaned data and nobody knows what the sample mean will be in real-time.
So I thought it would be interesting to set it up in state-space an compare filtered estimates with smoothed.
Before I try it, has anyone done this before? I wondered whether the add-in might make use of state space?
And if anyone has done it for the Blanchard-Quah decomp, that would be great to see too.
Best,
Jamie