Noncausal vector autoregression
DOI10.1017/S0266466612000448zbMATH Open1274.62602OpenAlexW3123638152WikidataQ61626460 ScholiaQ61626460MaRDI QIDQ2845019FDOQ2845019
Authors: 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
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maximum likelihood estimationasymptotic theorystatistical inferencenon-Gaussian time seriesinterest rate datanoncasual vector autoregressive model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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- Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
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Cited In (39)
- Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Non-fundamentalness in structural econometric models: a review
- Noncausal autoregressions for economic time series
- Present value relations, Granger noncausality, and VAR stability
- Noncausality and asset pricing
- Testing for a Unit Root in Noncausal Autoregressive Models
- NONPARAMETRIC PREDICTION WITH SPATIAL DATA
- Non-causality in VAR-ECM models with purely exogenous long-run paths
- Noncausal affine processes with applications to derivative pricing
- A bootstrap functional central limit theorem for time-varying linear processes
- Second-oder noncausality in multivariate GARCH processes
- Optimization of the generalized covariance estimator in noncausal processes
- Forecasting with a noncausal VAR model
- Noncausal counting processes: a queuing perspective
- A simulation algorithm for non-causal VARMA processes
- Misspecification of noncausal order in autoregressive processes
- Structural Vector Autoregressions With Nonnormal Residuals
- Chapter 4 The Vector Floor and Ceiling Model
- Filtering, prediction and simulation methods for noncausal processes
- On causal and non‐causal cointegrated vector autoregressive time series
- Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
- Measuring nonfundamentalness for structural VARs
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Bayesian inference on structural impulse response functions
- SPECIFICATION TESTS FOR LATTICE PROCESSES
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- Families of solutions of algebraic Riccati equations
- Autoregressive models for matrix-valued time series
- Noncausal vector AR processes with application to economic time series
- A Linear Theory for Noncausality
- Vector Autoregressions and Causality
- Noncausality and inflation persistence
- Selecting between causal and noncausal models with quantile autoregressions
- Multivariate star analysis of money-output relationship
- Réflexions méthodologiques sur la modélisation non structurelle : une approche par les modèles vectoriels autorégressifs (VAR) et leurs extensions dynamiques
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