NONCAUSAL VECTOR AUTOREGRESSION
From MaRDI portal
Publication:2845019
DOI10.1017/S0266466612000448zbMath1274.62602WikidataQ61626460 ScholiaQ61626460MaRDI QIDQ2845019
Markku Lanne, Pentti Saikkonen
Publication date: 22 August 2013
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466612000448
maximum likelihood estimation; statistical inference; asymptotic theory; non-Gaussian time series; interest rate data; noncasual vector autoregressive model
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
Related Items
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates, Bayesian inference on structural impulse response functions, On causal and non‐causal cointegrated vector autoregressive time series, SPECIFICATION TESTS FOR LATTICE PROCESSES, NONPARAMETRIC PREDICTION WITH SPATIAL DATA, Noncausal affine processes with applications to derivative pricing, A bootstrap functional central limit theorem for time-varying linear processes, Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics, Autoregressive models for matrix-valued time series, Forecasting with a noncausal VAR model, Measuring nonfundamentalness for structural VARs, The exact Gaussian likelihood estimation of time-dependent VARMA models, Misspecification of noncausal order in autoregressive processes, A simulation algorithm for non-causal VARMA processes, Noncausal counting processes: a queuing perspective, Noncausal vector AR processes with application to economic time series, Families of solutions of algebraic Riccati equations, Noncausal vector autoregressive process: representation, identification and semi-parametric estimation, Noncausality and inflation persistence, Selecting between causal and noncausal models with quantile autoregressions, Filtering, Prediction and Simulation Methods for Noncausal Processes, Testing for a Unit Root in Noncausal Autoregressive Models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum likelihood estimation for noncausal autoregressive processes
- Maximum likelihood estimation for all-pass time series models
- Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
- Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
- A note on time-reversibility of multivariate linear processes
- Identification in Parametric Models
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
