AFAIK there is no function to automatically compute the BN decomposition from a univariate time series in R. However, it is easy to compute by brute force from the output of an arima model fit to your data. A more elegant way would be to put your model in state space form and use the technique described in Morley's 2002 Econometrics Letters paper. You could easily use the functions in the R package dlm for this. I show how to do this using S-PLUS in my paper http://faculty.washington.edu/ezivot/statespacesurvey.pdf and the examples can easily be translated into R. Eric Zivot
Shruthi Jayaram wrote: > > Hi, > > Would anyone know if it is possible to run a Beveridge Nelson > decomposition of a univariate time series object in R? I searched in the > help files but didn't come across any potential methods. > > Thanks very much, > > Shruthi > -- View this message in context: http://www.nabble.com/Beveridge-Nelson-Decomposition-tp21789452p21815077.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
