Detecting Co-Movements in Noncausal Time Series

Gianluca Cubadda; Alain Hecq; Sean Telg

Detecting Co-Movements in Noncausal Time Series

Gianluca Cubadda, Alain Hecq, Sean Telg

QE Econometrics

Research output: Working paper / Preprint › Working paper

Original language	English
Publisher	MPRA Paper
Volume	77254
Publication status	Published - 2 Mar 2017

Publication series

Series	Munich Personal RePEc Archive
Number	77254

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

Access to Document

https://mpra.ub.uni-muenchen.de/77254/1/MPRA_paper_77254.pdfLicence: Other

1 Article
1 Working paper

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 paper / Preprint › Working paper
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 journal › Article › Academic › peer-review

Cite this

@techreport{5c01b6faf30d486181bb035e2ebc126c,

title = "Detecting Co-Movements in Noncausal Time Series",

keywords = "mixed causal-noncausal process, common features, vector autoregressive models, commodity prices, common bubbles",

author = "Gianluca Cubadda and Alain Hecq and Sean Telg",

note = "Data sources: (1) IMF Primary Commodity Prices, http://www.imf.org/external/np/res/commod/index.aspx, (2) {"}The Department Store Inventory Price Index{"} of the Bureau of Labor Statistics (LBS).",

year = "2017",

month = mar,

day = "2",

language = "English",

volume = "77254",

series = "Munich Personal RePEc Archive",

publisher = "MPRA Paper",

number = "77254",

type = "WorkingPaper",

institution = "MPRA Paper",

}

TY - UNPB

T1 - Detecting Co-Movements in Noncausal Time Series

AU - Cubadda, Gianluca

AU - Hecq, Alain

AU - Telg, Sean

N1 - Data sources: (1) IMF Primary Commodity Prices, http://www.imf.org/external/np/res/commod/index.aspx, (2) "The Department Store Inventory Price Index" of the Bureau of Labor Statistics (LBS).

PY - 2017/3/2

Y1 - 2017/3/2

KW - mixed causal-noncausal process

KW - common features

KW - vector autoregressive models

KW - commodity prices

KW - common bubbles

M3 - Working paper

VL - 77254

T3 - Munich Personal RePEc Archive

BT - Detecting Co-Movements in Noncausal Time Series

PB - MPRA Paper

ER -

Detecting Co-Movements in Noncausal Time Series

Publication series

JEL classifications

Keywords

Access to Document

Research output

Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?

Identification of Mixed Causal-Noncausal Models in Finite Samples

Cite this