Re: [R] Beveridge-Nelson decomposition

sdlywjl666 wrote: > > Dear all, > Is there some function in R to carry out Beveridge-Nelson > decomposition? > Is there some function in R to carry out seasonal adjustments of time > series? > Is there some function in R to carry out x11 or x12 seasonal adjustments ? > > RSiteSearch("Bev

[R] Beveridge-Nelson decomposition

Dear all, Is there some function in R to carry out Beveridge-Nelson decomposition? Is there some function in R to carry out seasonal adjustments of time series? Is there some function in R to carry out x11 or x12 seasonal adjustments ? Thanks! Best regards, wang [[alternative HTML versi

Re: [R] Beveridge Nelson Decomposition

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 des

[R] Beveridge Nelson Decomposition

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-Nelso