Noncausal vector autoregression
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Publication:2845019
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Cites work
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- A note on time-reversibility of multivariate linear processes
- 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
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Identification in Parametric Models
- Maximum likelihood estimation for all-pass time series models
- Maximum likelihood estimation for noncausal autoregressive processes
Cited in
(40)- Noncausal affine processes with applications to derivative pricing
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Noncausal counting processes: a queuing perspective
- A bootstrap functional central limit theorem for time-varying linear processes
- NONPARAMETRIC PREDICTION WITH SPATIAL DATA
- Noncausal vector AR processes with application to economic time series
- Testing for a unit root in noncausal autoregressive models
- Second-oder noncausality in multivariate GARCH processes
- 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
- Structural Vector Autoregressions With Nonnormal Residuals
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- Nonparametric vector autoregressions: specification, estimation, and inference
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- Non-fundamentalness in structural econometric models: a review
- Optimization of the generalized covariance estimator in noncausal processes
- Autoregressive models for matrix-valued time series
- Réflexions méthodologiques sur la modélisation non structurelle : une approche par les modèles vectoriels autorégressifs (VAR) et leurs extensions dynamiques
- Measuring nonfundamentalness for structural VARs
- Families of solutions of algebraic Riccati equations
- Vector Autoregressions and Causality
- Forecasting with a noncausal VAR model
- Bayesian inference on structural impulse response functions
- Noncausal autoregressions for economic time series
- Noncausal autoregressive model in application to Bitcoin/USD exchange rates
- Present value relations, Granger noncausality, and VAR stability
- Noncausality and inflation persistence
- Chapter 4 The Vector Floor and Ceiling Model
- Selecting between causal and noncausal models with quantile autoregressions
- Non-causality in VAR-ECM models with purely exogenous long-run paths
- A simulation algorithm for non-causal VARMA processes
- On causal and non-causal cointegrated vector autoregressive time series
- Multivariate star analysis of money-output relationship
- Noncausality and asset pricing
- Filtering, prediction and simulation methods for noncausal processes
- Misspecification of noncausal order in autoregressive processes
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- A Linear Theory for Noncausality
- Specification tests for lattice processes
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