BNDECOMP Procedure

@BNDECOMP computes the Beveridge-Nelson (1981) (BN) decomposition of a time series, producing the BN estimate of the trend. The algorithm is from Newbold(1990).

@BNDecomp( options )z start end zbar

Parameters

z	series to decompose
start, end	range of z to use. By default, the defined range of series.
zbar	(output) Beveridge-Nelson trend series

Options

AR=number of AR lags [1]

MA=number of MA lags [0]

LOGS/[NOLOGS]

If LOGS, takes natural log of Z before performing BN decomposition. ZBAR will then be the antilog of the permanent part computed from log(z)

ROLLING/[NOROLLING]

If ROLLING, does rolling estimates of the ARMA model, that is the analysis for time period t uses estimates prepared using only data through t. ROLLING can take quite a bit of time on a large data set.

PRINT/[NOPRINT]

If PRINT, print output from each recursive estimate of the ARMA model