Tuesday, February 25, 2020

Beveridge-Nelson Filter

Authors and guest post by Benjamin Wong (Monash University) and Davaajargal Luvsannyam (The Bank of Mongolia)

Analysis of macroeconomic time series often involves decomposing a series into a trend and cycle components. In this blog post, we describe the Kamber, Morley, and Wong (2018) Beveridge-Nelson (BN) filter and the associated EViews add-in.