Low, Chin Nam Anderson, Heather Snyder, Ralph D. Beveridge-Nelson decomposition with Markov switching This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process. Our approach incorporates Markov switching into a single source of error state-space framework, allowing business cycle asymmetries and regime switches in the long-run multiplier. Markov switching;1959.1/42231;Single source of error state space models;monash:7431;Beveridge-Nelson decomposition;2006 2017-06-08
    https://bridges.monash.edu/articles/journal_contribution/Beveridge-Nelson_decomposition_with_Markov_switching/5091619
10.4225/03/5938f5ed11b5a