Modeling Expectations with Noncausal Autoregressions
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- Lanne, Markku & Saikkonen, Pentti, 2008. "Modeling Expectations with Noncausal Autoregressions," MPRA Paper 8411, University Library of Munich, Germany.
References listed on IDEAS
- Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
- White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, March.
- Stephen G. Cecchetti & Guy Debelle, 2006. "Has the inflation process changed?," Economic Policy, CEPR;CES;MSH, vol. 21(46), pages 311-352, April.
- Andrews, Beth & Davis, Richard A. & Jay Breidt, F., 2006. "Maximum likelihood estimation for all-pass time series models," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1638-1659, August.
- Breid, F. Jay & Davis, Richard A. & Lh, Keh-Shin & Rosenblatt, Murray, 1991. "Maximum likelihood estimation for noncausal autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 175-198, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012.
"Optimal forecasting of noncausal autoregressive time series,"
International Journal of Forecasting, Elsevier, vol. 28(3), pages 623-631.
- Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2010. "Optimal Forecasting of Noncausal Autoregressive Time Series," MPRA Paper 23648, University Library of Munich, Germany.
- Lanne, Markku & Luoto, Jani, 2012.
"Has US inflation really become harder to forecast?,"
Elsevier, vol. 115(3), pages 383-386.
- Lanne, Markku & Luoto, Jani, 2010. "Has U.S. Inflation Really Become Harder to Forecast?," MPRA Paper 29992, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2013. "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
- Markku Lanne & Arto Luoma & Jani Luoto, 2012.
"Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(5), pages 812-830, August.
- Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper 23646, University Library of Munich, Germany.
- Davis, Richard A. & Song, Li, 2020. "Noncausal vector AR processes with application to economic time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 246-267.
- Markku Lanne & Pentti Saikkonen, 2011. "GMM Estimation with Non‐causal Instruments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 581-592, October.
More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2008-06-13 (Central Banking)
- NEP-ECM-2008-06-13 (Econometrics)
- NEP-ETS-2008-06-13 (Econometric Time Series)
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