Misspecification of noncausal order in autoregressive processes

DOI10.1016/J.JECONOM.2018.03.012MaRDI QIDQ1754523zbMATH OpenOpenAlexFDO

Authors Christian Gouriéroux, J. Jasiak

Publication date 31 May 2018

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.03.012

zbMATH Keywords

indirect inferencemisspecificationnon-nested hypothesesencompassingnoncausal processbinding functionnoncausal order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 3213229 (Why is no real title available?)
• scientific article; zbMATH DE number 3320085 (Why is no real title available?)
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• Testing for fundamental vector moving average representations
• VAR analysis, nonfundamental representations, Blaschke matrices

Cited in

(4)

• Optimization of the generalized covariance estimator in noncausal processes
• Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds

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