Time aggregation of mixed causal-noncausal models

DOI10.1016/j.econlet.2024.112019MaRDI QIDQ6665058

Sean Telg

Publication date: 16 January 2025

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

non-GaussianitynoncausalityMAR modelssystematic and flow aggregation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
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• Stationary bubble equilibria in rational expectation models
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Noncausal Autoregressions for Economic Time Series
• MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Local Explosion Modelling by Non-Causal Process

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