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Evans, George W. and Reichlin, L (1992) Information. CEP Discussion Papers, CEPDP111. Centre for Economic Performance, London School of Economics and Political Science, London, UK.

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Identification Number: CEPDP111

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.

Item Type: Monograph (Discussion Paper)
Official URL: http://cep.lse.ac.uk
Additional Information: © 1992 The Authors
Subjects: H Social Sciences > HB Economic Theory
Sets: Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Series: Working Papers > CEP Discussion Papers
Date Deposited: 20 Aug 2008 12:11
Last Modified: 01 Mar 2013 12:36
URI: http://eprints.lse.ac.uk/id/eprint/21011

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