Noncausal autoregressions for economic time series

DOI10.2202/1941-1928.1080MaRDI QIDQ4928546zbMATH OpenOpenAlexFDO

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

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)

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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
• Forecasting with a noncausal VAR model
• Optimization of the generalized covariance estimator in noncausal processes
• 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
• Non-causal strictly stationary solutions of random recurrence equations
• Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
• 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
• Noncausal vector AR processes with application to economic time series
• Time aggregation of mixed causal-noncausal models
• Noncausality and inflation persistence
• Selecting between causal and noncausal models with quantile autoregressions
• Multivariate modelling of non-stationary economic time series
• Noncausal autoregressive model in application to Bitcoin/USD exchange rates

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