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

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