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Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles

Citations

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Cited by:

  1. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute, revised 01 Mar 2024.
  2. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
  3. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
  4. Frédéric BEC & Alain GUAY, 2020. "A simple unit root test consistent against any stationary alternative," Working Papers 2020-28, Center for Research in Economics and Statistics.
  5. Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022. "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, vol. 227(1), pages 65-84.
  6. 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.
  7. 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.
  8. Antonio Aguirre & Ignacio N. Lobato, 2024. "Evidence of non-fundamentalness in OECD capital stocks," Empirical Economics, Springer, vol. 67(2), pages 761-772, August.
  9. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  10. Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
  11. Blasques, Francisco & Nientker, Marc, 2023. "Stochastic properties of nonlinear locally-nonstationary filters," Journal of Econometrics, Elsevier, vol. 235(2), pages 2082-2095.
  12. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is Climate Change Time-Reversible?," Econometrics, MDPI, vol. 10(4), pages 1-18, December.
  13. F. Blasques & S.J. Koopman & G. Mingoli & S. Telg, 2024. "A Novel Test for the Presence of Local Explosive Dynamics," Tinbergen Institute Discussion Papers 24-036/III, Tinbergen Institute.
  14. Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
  15. 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.
  16. Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
  17. 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.
  18. 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.
  19. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
  20. Hecq, Alain & Issler, João Victor & Voisin, Elisa, 2024. "A short term credibility index for central banks under inflation targeting: An application to Brazil," Journal of International Money and Finance, Elsevier, vol. 143(C).
  21. Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
  22. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
  23. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
  24. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
  25. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
  26. Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  27. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
  28. Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
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