Noncausal autoregressions for economic time series

DOI10.2202/1941-1928.1080zbMATH Open1266.91073OpenAlexW2239773003MaRDI QIDQ4928546FDOQ4928546

Authors: Markku Lanne, Pentti Saikkonen 

Publication date: 14 June 2013

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/32943/1/MPRA_paper_32943.pdf

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zbMATH Keywords

non-Gaussian time seriesinflation persistencenoncausal autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (27)

• Noncausality and asset pricing
• Estimation of time series models using residuals dependence measures
• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• Mixed causal-noncausal AR processes and the modelling of explosive bubbles
• Optimization of the generalized covariance estimator in noncausal processes
• Forecasting with a noncausal VAR model
• Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• Misspecification of noncausal order in autoregressive processes
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• Noncausal vector autoregression
• Filtering, prediction and simulation methods for noncausal processes
• Autoregression-based estimation of the New Keynesian Phillips curve
• Measuring nonfundamentalness for structural VARs
• Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
• Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
• Non-causal strictly stationary solutions of random recurrence equations
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Identification and estimation of non-Gaussian structural vector autoregressions
• Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
• Testing for a unit root in noncausal autoregressive models
• Time aggregation of mixed causal-noncausal models
• Noncausal vector AR processes with application to economic time series
• Noncausality and inflation persistence
• Selecting between causal and noncausal models with quantile autoregressions
• Noncausal autoregressive model in application to Bitcoin/USD exchange rates
• Multivariate modelling of non-stationary economic time series

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