Noncausal Vector Autoregression
Copyright policy )Noncausal Vector Autoregression
In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an asymptotic theory of maximum likelihood estimation and statistical inference. We argue that allowing for noncausality is of particular importance in economic applications that currently use only conventional causal VAR models. Indeed, if noncausality is incorrectly ignored, the use of a causal VAR model may yield suboptimal forecasts and misleading economic interpretations. Therefore, we propose a procedure for discriminating between causality and noncausality. The methods are illustrated with an application to interest rate data.
Applications of statistics to actuarial sciences and financial mathematics, Economics, Estimation in multivariate analysis, and Effects, C32 - Time-Series Models, C52 - Model Evaluation, maximum likelihood estimation, Term Structure, State Space Models, Dynamic Quantile Regressions, Diffusion Processes, interest rate data, Validation, Statistics and probability, and Selection, Vector autoregression; noncausal time series; non-Gaussian time series, ddc:330, non-Gaussian time series, Dynamic Treatment Effect Models, E43 - Interest Rates: Determination, noncasual vector autoregressive model, Economic time series analysis, asymptotic theory, Time series, auto-correlation, regression, etc. in statistics (GARCH), elliptic distribution; fiscal foresight; maximum likelihood estimation; noncausal; nonfundamentalness; non-Gaussian; term structure of interest rates, statistical inference, jel: jel:E62, jel: jel:E43, jel: jel:C46, jel: jel:C52, jel: jel:C32, jel: jel:G12
Applications of statistics to actuarial sciences and financial mathematics, Economics, Estimation in multivariate analysis, and Effects, C32 - Time-Series Models, C52 - Model Evaluation, maximum likelihood estimation, Term Structure, State Space Models, Dynamic Quantile Regressions, Diffusion Processes, interest rate data, Validation, Statistics and probability, and Selection, Vector autoregression; noncausal time series; non-Gaussian time series, ddc:330, non-Gaussian time series, Dynamic Treatment Effect Models, E43 - Interest Rates: Determination, noncasual vector autoregressive model, Economic time series analysis, asymptotic theory, Time series, auto-correlation, regression, etc. in statistics (GARCH), elliptic distribution; fiscal foresight; maximum likelihood estimation; noncausal; nonfundamentalness; non-Gaussian; term structure of interest rates, statistical inference, jel: jel:E62, jel: jel:E43, jel: jel:C46, jel: jel:C52, jel: jel:C32, jel: jel:G12
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