Mixed causal-noncausal autoregressions with exogenous regressors
Alain Hecq (),
João Issler () and
Sean Telg ()
No 810, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
The mixed causal-noncausal autoregressive (MAR) model has been proposed to estimate time series processes involving explosive roots in the autoregressive part, as it allows for stationary forward and backward solutions. Possible exogenous variables are substituted into the error term to ensure the univariate MAR structure of the variable of interest. To study the impact of fundamental exogenous variables directly, we instead consider a MARX representation which allows for the inclusion of exogenous regressors. We argue that, contrary to MAR models, MARX models might be identified using second-order properties. The asymptotic distribution of the MARX parameters is derived assuming a class of nonGaussian densities. We assume a Student’s t-likelihood to derive closed form solutions of the corresponding standard errors. By means of Monte Carlo simulations, we evaluate the accuracy of MARX model selection based on information criteria. We examine the influence of the U.S. exchange rate and industrial production index on several commodity prices.
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: Track citations by RSS feed
Downloads: (external link)
http://bibliotecadigital.fgv.br/dspace/bitstream/1 ... io-economico-810.pdf (application/pdf)
Journal Article: Mixed causal–noncausal autoregressions with exogenous regressors (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:810
Access Statistics for this paper
More papers in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().