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英文文献：The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions-贝弗里奇-尼尔森分解和其他永久-暂时分解之间的确切联系
英文文献作者：Giacomo Sbrana
英文文献摘要：
The econometric literature has recently focused attention on the relationship between the Beveridge–Nelson decomposition and unobserved components processes when decomposing time series into permanent and transitory shocks. This paper shows the existence of an algebraic linkage between reduced and structural forms parameters of some unobserved components processes. Results allow measuring how close standard unobserved components processes and unrestricted ARIMA models are regardless of the number of structural/reduced form parameters. Results are provided when the reduced forms are ARIMA(2,1,2) and ARIMA(0,2,2). For the latter, the exact relation between the Hodrick–Prescott filter and the IMA(2,2) reduced form is also shown.
在将时间序列分解为永久性和暂时性冲击时，计量经济学文献最近将注意力集中在贝弗里奇-尼尔森分解和未观察组分过程之间的关系上。本文证明了某些未观测元件过程的简化型参数与结构型参数之间存在代数联系。结果允许测量标准的未观察组件过程和不受限制的ARIMA模型有多接近，而不考虑结构/简化形式参数的数量。当简化形式为ARIMA(2,1,2)和ARIMA(0,2,2)时提供结果。对于后者，霍德里克-普雷斯科特滤波器和IMA(2,2)简化形式之间的确切关系也被证明。
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