Noncausal Autoregressions for Economic Time Series
From MaRDI portal
Publication:4928546
DOI10.2202/1941-1928.1080zbMath1266.91073OpenAlexW2239773003MaRDI QIDQ4928546
Pentti Saikkonen, Markku Lanne
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (18)
Noncausality and asset pricing ⋮ Unnamed Item ⋮ Forecasting with a noncausal VAR model ⋮ Autoregression-based estimation of the New Keynesian Phillips curve ⋮ Testing for a Unit Root in Noncausal Autoregressive Models ⋮ Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates ⋮ Measuring nonfundamentalness for structural VARs ⋮ Noncausal vector autoregressive process: representation, identification and semi-parametric estimation ⋮ Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility ⋮ NONPARAMETRIC PREDICTION WITH SPATIAL DATA ⋮ Noncausality and inflation persistence ⋮ Selecting between causal and noncausal models with quantile autoregressions ⋮ Non-causal strictly stationary solutions of random recurrence equations ⋮ Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models ⋮ Misspecification of noncausal order in autoregressive processes ⋮ Identification and estimation of non-Gaussian structural vector autoregressions ⋮ Filtering, Prediction and Simulation Methods for Noncausal Processes ⋮ Estimation of time series models using residuals dependence measures
This page was built for publication: Noncausal Autoregressions for Economic Time Series
