On uniqueness of moving average representations of heavy-tailed stationary processes
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- Christian Gouriéroux & Jean-Michel Zakoïan, 2015. "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.
References listed on IDEAS
- Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Center for Research in Economics and Statistics.
- Marc Hallin & Claude Lefèvre & Madan Lal Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
- Kung-Sik Chan & Lop-Hing Ho & Howell Tong, 2006. "A note on time-reversibility of multivariate linear processes," Biometrika, Biometrika Trust, vol. 93(1), pages 221-227, March.
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Cited by:
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Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," THEMA Working Papers 2019-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique BEC & Heino BOHN NIELSEN & Sarra SAÏDI, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Working Papers 2019-09, Center for Research in Economics and Statistics.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2019. "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing [Modèles auto-régressifs non-causaux mixtes: Problèmes de bimodalité pour l'estimation et le test de r," Working Papers hal-02175760, HAL.
- Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
- Fries, Sébastien & Zakoian, Jean-Michel, 2019.
"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
- Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
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More about this item
Keywords
$alpha$-stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed causal/noncausal process; Nonparametric identification; Unobserved component model.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-04-05 (Econometrics)
- NEP-ETS-2014-04-05 (Econometric Time Series)
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