Seasonality in Mixed Causal-Noncausal Processes

Tomás del Barrio Castro, Alain Hecq and Sean Telg

Papers from arXiv.org

Abstract: This paper investigates the role of complex and negative roots in mixed causal-noncausal autoregressive (MAR) models. Using partial fraction decompositions, we show that seasonal roots can always be isolated in the moving average representation of purely causal and noncausal AR models. We find that this result extends to the MAR model, which means that no new joint seasonal effects can be generated despite the multiplicative structure of the causal and noncausal polynomials. This results has important consequences for the MAR model selection procedure and these are extensively studied in a Monte Carlo simulation study. An empirical application on COVID-19 and soybean data illustrates the main findings of the paper.

Date: 2026-04
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2604.07040 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2604.07040

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().