Stochastic trend analysis

beveridgeNelson(X :: Vector, p :: Int; method::Symbol=:Newbold, estimator::Symbol=:OLS)

Computes the Beverdige-Nelson decomposition of a non-stationary time series X using a autoregressive model for estimation with p-lags, as estimators :OLS, :burg, :yuleWalker can be used.

Either uses Newbold's (1990) or Miller's (1987) method of computation.

Returns a (Nx1) vector of the trend component.