Time aggregation of mixed causal-noncausal models

DOI10.1016/J.ECONLET.2024.112019MaRDI QIDQ6665058zbMATH OpenFDO

Authors Sean Telg

Publication date 16 January 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.112019

zbMATH Keywords

MAR modelsnon-Gaussianitynoncausalitysystematic and flow aggregation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 854948 (Why is no real title available?)
• Local Explosion Modelling by Non-Causal Process
• Mixed causal-noncausal AR processes and the modelling of explosive bubbles
• Noncausal autoregressions for economic time series
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Stationary bubble equilibria in rational expectation models
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Time series analysis. Univariate and multivariate methods.

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