Detecting Co-Movements in Noncausal Time Series

Gianluca Cubadda, Alain Hecq, Sean Telg

Research output: Working paperProfessional

Original languageEnglish
PublisherMPRA Paper
Volume77254
Publication statusPublished - 2 Mar 2017

Publication series

SeriesMunich Personal RePEc Archive
Number77254

JEL classifications

  • c12 - Hypothesis Testing: General
  • c32 - "Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models"
  • e32 - "Business Fluctuations; Cycles"

Keywords

  • mixed causal-noncausal process
  • common features
  • vector autoregressive models
  • commodity prices
  • common bubbles

Research Output

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

Hecq, A., Telg, S. & Lieb, L., 4 Nov 2016, MPRA Paper, (Munich Personal RePEc Archive; No. 74922).

Research output: Working paperProfessional

Identification of Mixed Causal-Noncausal Models in Finite Samples

Hecq, A., Lieb, L. & Telg, S., 2016, In : Annals of Economics and Statistics. 123/124, p. 307-331 11.

Research output: Contribution to journalArticleAcademicpeer-review

Cite this

Cubadda, G., Hecq, A., & Telg, S. (2017). Detecting Co-Movements in Noncausal Time Series. MPRA Paper. Munich Personal RePEc Archive, No. 77254 https://mpra.ub.uni-muenchen.de/77254/1/MPRA_paper_77254.pdf