I still replicate paper of Morley, Nelson & Zivot(2003), "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?,"
I encounter a new question.
The boxjenk code used is "boxjenk(maxl,ar=2,diffs=1,ma=2,const) lgdp" .
Without maxl option, the result is different, so BN decomposition is also different. While I use boxjenk with maxl option to other dataset, the model does not converge, but default specification is ok. I also review reference manual but no answer.