Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
Download full text from publisher
References listed on IDEAS
- Alain Hecq & Lenard Lieb & Sean Telg, 2016. "Identification of Mixed Causal-Noncausal Models in Finite Samples," Annals of Economics and Statistics, GENES, issue 123-124, pages 307-331.
- Lanne, Markku & Luoto, Jani, 2013.
"Autoregression-based estimation of the new Keynesian Phillips curve,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(3), pages 561-570.
- Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
- Alain Hecq & Sean Telg & Lenard Lieb, 2017.
"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?,"
MDPI, Open Access Journal, vol. 5(4), pages 1-22, October.
- Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper 74922, University Library of Munich, Germany, revised 04 Nov 2016.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2011. "Non‐Fundamentalness in Structural Econometric Models: A Review," International Statistical Review, International Statistical Institute, vol. 79(1), pages 16-47, April.
- Rongning Wu & Richard A. Davis, 2010. "Least absolute deviation estimation for general autoregressive moving average time-series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 98-112, March.
- Lanne Markku & Saikkonen Pentti, 2011.
"Noncausal Autoregressions for Economic Time Series,"
Journal of Time Series Econometrics,
De Gruyter, vol. 3(3), pages 1-32, October.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal autoregressions for economic time series," MPRA Paper 32943, University Library of Munich, Germany.
- Henri Nyberg & Markku Lanne & Erkka Saarinen, 2012. "Does noncausality help in forecasting economic time series?," Economics Bulletin, AccessEcon, vol. 32(4), pages 2849-2859.
- 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.
- Pesaran, M. Hashem, 2015. "Time Series and Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780198759980.
- 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.
More about this item
KeywordsMixed causal-noncausal process; non-Gaussian errors; identification; rational expectation models; commodity prices;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-08-20 (All new papers)
- NEP-ECM-2017-08-20 (Econometrics)
- NEP-ETS-2017-08-20 (Econometric Time Series)
- NEP-MAC-2017-08-20 (Macroeconomics)
- NEP-ORE-2017-08-20 (Operations Research)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:80767. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.