Noncausal vector autoregressive process: representation, identification and semi-parametric estimation

DOI10.1016/j.jeconom.2017.01.011zbMath1388.62256OpenAlexW2733732839MaRDI QIDQ2398979

Christian Gouriéroux, Joanna Jasiak

Publication date: 21 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.01.011

zbMATH Keywords

identificationrepresentationsemi-parametric estimationspeculative bubblealternative investmentgeneralized covariance estimatormultivariate noncausal process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Econometric specification of stochastic discount factor models ⋮ On causal and non‐causal cointegrated vector autoregressive time series ⋮ Statistical inference for independent component analysis: application to structural VAR models ⋮ Generalized Covariance Estimator ⋮ Stationary bubble equilibria in rational expectation models

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Econometric specification of stochastic discount factor models
• Model identification for infinite variance autoregressive processes
• Maximum likelihood estimation for noncausal autoregressive processes
• Z-transform and identification of linear econometric models with autocorrelated errors
• Adaptive estimation in noncausal stationary AR processes
• Gaussian and non-Gaussian linear time series and random fields
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• Maximum likelihood estimation for all-pass time series models
• Filtering, Prediction and Simulation Methods for Noncausal Processes
• NONCAUSAL VECTOR AUTOREGRESSION
• Fiscal Foresight and Information Flows
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Consideration of Trends in Time Series
• Noncausal Autoregressions for Economic Time Series
• A note on time-reversibility of multivariate linear processes
• The asymptotic theory of linear time-series models
• Local Explosion Modelling by Non-Causal Process

This page was built for publication: Noncausal vector autoregressive process: representation, identification and semi-parametric estimation