Permanent vs transitory components and economic fundamentals
提出一种新的多变量Beveridge-Nelson分解方法，将暂时成分表示为可观测平稳过程的加权，从而更清晰地解释经济含义，并用英国经济的小型VECM模型示例说明。
Abstract Any non‐stationary series can be decomposed into permanent (or ‘trend’) and transitory (or ‘cycle’) components. Typically some atheoretic pre‐filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic processes should instead be central to this process. We present a new derivation of multivariate Beveridge–Nelson permanent and transitory components, whereby the latter can be derived explicitly as a weighting of observable stationary processes. This allows far clearer economic interpretations. Different assumptions on the fundamental stationary processes result in distinctly different results, but this reflects deep economic uncertainty. We illustrate with an example using Garratt et al. 's ( 2003a ) small VECM model of the UK economy. Copyright © 2006 John Wiley & Sons, Ltd.