Noncausal Autoregressions for Economic Time Series

By Markku Lanne, Pentti Saikkonen. 2010

103 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8cdb6e593f54a17c52c1c799b83690e458d713f7

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In Economics and Econometrics

Citations in the corpus

Identification and estimation of non-Gaussian structural vector autoregressions (2015, background): “…to those previously imposed on error density functions in the estimation theory of non-Gaussian ARMAmodels (see, e.g., Breidt et al. (1991), Andrews et al. (2006), Lanne and Saikkonen (2011), Meitz and Saikkonen (2013), and the references therein), although their formulation is somewhat different.”
Filtering, Prediction and Simulation Methods for Noncausal Processes (2016, methodology): “In recent literature, mixed autoregressive models have been estimated by the AML method (e.g. Breidt et al., 1991; Lanne and Saikkonen, 2011, 2013; Davis and Song, 2012 for the multivariate framework).”
Optimal Forecasting of Noncausal Autoregressive Time Series (2012, unknown): “Using the model selection procedure suggested by Lanne and Saikkonen (2011), the AR(1,4) model with t-distributed errors is selected.”
NONCAUSAL VECTOR AUTOREGRESSION (2013, unknown): “In that case we successfully employed an extension of the model selection procedure presented by Breidt et al. (1991) and Lanne and Saikkonen (2011) in the corresponding univariate case and found evidence of noncausality.”
MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2017, methodology): “…the emergence of a significant line of research on noncausal models in the econometric literature [see e.g., Lanne, Nyberg, and Saarinen (2012), Lanne and Saikkonen (2011), Davis and Song (2012), Chen, Choi, and Escanciano (2012), Hencic and Gouriéroux (2015), Velasco and Lobato (2015), Hecq,…”