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Noncausal Vector Autoregression
Citations
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Cited by:
- Paul Beaudry & Franck Portier, 2014.
"News-Driven Business Cycles: Insights and Challenges,"
Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
- Portier, Franck & Beaudry, Paul, 2013. "News Driven Business Cycles: Insights and Challenges," CEPR Discussion Papers 9624, C.E.P.R. Discussion Papers.
- Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
- Paul Beaudry & Franck Portier, 2013. "News Driven Business Cycles: Insights and Challenges," NBER Working Papers 19411, National Bureau of Economic Research, Inc.
- Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
- Markku Lanne & Jani Luoto, 2017. "A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 969-995, August.
- Giurcanu, Mihai C., 2015. "A simulation algorithm for non-causal VARMA processes," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 65-72.
- repec:diw:diwwpp:dp1286 is not listed on IDEAS
- 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.
- Demetrescu, Matei & Kruse, Robinson, 2015. "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113221, Verein für Socialpolitik / German Economic Association.
- Soccorsi, Stefano, 2016.
"Measuring nonfundamentalness for structural VARs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Abhimanyu Gupta & Javier Hidalgo, 2020.
"Nonparametric prediction with spatial data,"
Papers
2008.04269, arXiv.org, revised Nov 2021.
- Gupta, Abhimanyu & Hidalgo, Javier, 2022. "Nonparametric prediction with spatial data," LSE Research Online Documents on Economics 115292, London School of Economics and Political Science, LSE Library.
- Abhimanyu Gupta & Javier Hidalgo, 2022. "Nonparametric prediction with spatial data," STICERD - Econometrics Paper Series 621, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023.
"Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models,"
Econometrics, MDPI, vol. 11(1), pages 1-16, March.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2022. "Detecting common bubbles in multivariate mixed causal-noncausal models," Papers 2207.11557, arXiv.org.
- Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Pentti Saikkonen & Rickard Sandberg, 2016.
"Testing for a Unit Root in Noncausal Autoregressive Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
- Saikkonen, Pentti & Sandberg, Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Bank of Finland Research Discussion Papers 26/2013, Bank of Finland.
- Moneta, Alessio & Pallante, Gianluca, 2022.
"Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study,"
Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Alessio Moneta & Gianluca Pallante, 2020. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," LEM Papers Series 2020/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Numan Ülkü & Kexing Wu, 2023. "Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(5), pages 1-25, September.
- repec:zbw:bofrdp:2013_026 is not listed on IDEAS
- Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.
- Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
- Chen, Rong & Xiao, Han & Yang, Dan, 2021. "Autoregressive models for matrix-valued time series," Journal of Econometrics, Elsevier, vol. 222(1), pages 539-560.
- Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
- Alain Hecq & Joao Victor Issler & Sean Telg, 2020.
"Mixed causal–noncausal autoregressions with exogenous regressors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(3), pages 328-343, April.
- Hecq, Alain & Issler, João Victor & Telg, Sean, 2019. "Mixed causal-noncausal autoregressions with exogenous regressors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 810, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Markku Lanne & Jani Luoto, 2016.
"Noncausal Bayesian Vector Autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1392-1406, November.
- Markku Lanne & Jani Luoto, 2014. "Noncausal Bayesian Vector Autoregression," CREATES Research Papers 2014-07, Department of Economics and Business Economics, Aarhus University.
- 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.
- Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020.
"Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing,"
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," 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.
- 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.
- Francesco Giancaterini & Alain Hecq, 2020. "Inference in mixed causal and noncausal models with generalized Student's t-distributions," Papers 2012.01888, arXiv.org, revised Nov 2022.
- repec:diw:diwwpp:dp1230 is not listed on IDEAS
- Hidalgo, Javier & Seo, Myung Hwan, 2015.
"Specification Tests For Lattice Processes,"
Econometric Theory, Cambridge University Press, vol. 31(2), pages 294-336, April.
- Hidalgo, Javier & Seo, Myung Hwan, 2015. "Specification tests for lattice processes," LSE Research Online Documents on Economics 66104, London School of Economics and Political Science, LSE Library.
- Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, 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.
- Ülkü, Numan & Kuruppuarachchi, Duminda & Kuzmicheva, Olga, 2017. "Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model," Emerging Markets Review, Elsevier, vol. 33(C), pages 140-154.
- Christian Gourieroux & Joann Jasiak, 2016. "Filtering, Prediction and Simulation Methods for Noncausal Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 405-430, May.
- Alj, Abdelkamel & Jónasson, Kristján & Mélard, Guy, 2016. "The exact Gaussian likelihood estimation of time-dependent VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 633-644.
- Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
- Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
- Lof Matthijs, 2013.
"Noncausality and asset pricing,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 211-220, April.
- Lof, Matthijs, 2011. "Noncausality and Asset Pricing," MPRA Paper 30519, University Library of Munich, Germany.
- Brendan K. Beare & Massimo Franchi & Phil Howlett, 2024.
"The general solution to an autoregressive law of motion,"
Papers
2402.01966, arXiv.org, revised Sep 2024.
- Brendan K Beare & Massimo Franchi & Phil Howlett, 2024. "The general solution to an autoregressive law of motion," Working Papers 2024-01, University of Sydney, School of Economics.
- Nyberg, Henri & Saikkonen, Pentti, 2014.
"Forecasting with a noncausal VAR model,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 536-555.
- Nyberg, Henri & Saikkonen, Pentti, 2012. "Forecasting with a noncausal VAR model," Bank of Finland Research Discussion Papers 33/2012, Bank of Finland.
- 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.
- Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
- Nelimarkka, Jaakko, 2017. "The effects of government spending under anticipation: the noncausal VAR approach," MPRA Paper 81303, University Library of Munich, Germany.
- Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
- Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
- Sanjiwani Jayant KUMAR & Hitesh PUNJABI & Ashish MAHADIK, 2018. "Study of Relationship between Large-Cap Equity Funds Returns in India and Benchmark Returns," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 47-56.
- Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.
- Pentti Saikkonen & Rickard Sandberg, 2016.
"Testing for a Unit Root in Noncausal Autoregressive Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
- Saikkonen, Pentti & Sandberg, Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.
- Lanne Markku, 2015.
"Noncausality and inflation persistence,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 469-481, September.
- Markku Lanne, 2013. "Noncausality and Inflation Persistence," Discussion Papers of DIW Berlin 1286, DIW Berlin, German Institute for Economic Research.
- Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023.
"Optimization of the Generalized Covariance Estimator in Noncausal Processes,"
Papers
2306.14653, arXiv.org, revised Jan 2024.
- Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2024. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," CEIS Research Paper 574, Tor Vergata University, CEIS, revised 23 Apr 2024.