Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/282900 
Year of Publication: 
2024
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2024-003/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge-Nelson decomposition.
Subjects: 
trend and cycle
filtering
autoregressive integrated moving average model
score-driven model
heavy-tailed distributions
JEL: 
C22
E32
Document Type: 
Working Paper

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