Noncausality and inflation persistence

DOI10.1515/snde-2013-0108zbMath1506.91128OpenAlexW3121772333WikidataQ61626442 ScholiaQ61626442MaRDI QIDQ2687883

Markku Lanne

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0108

zbMATH Keywords

inflation persistencegeneralized impulse response functionnoncausal autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (1)

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Cites Work

• Autoregression-based estimation of the New Keynesian Phillips curve
• Maximum likelihood estimation for noncausal autoregressive processes
• Absorption of shocks in nonlinear autoregressive models
• Impulse response analysis in nonlinear multivariate models
• A floor and ceiling model of US output
• Maximum likelihood estimation for all-pass time series models
• NONCAUSAL VECTOR AUTOREGRESSION
• Noncausal Autoregressions for Economic Time Series
• DSGE Models with Student-tErrors
• Noncausality and asset pricing

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