Work

Time aggregation of mixed causal–noncausal models

Year: 2024

Type: article

Abstract: We study systematic and flow aggregation of mixed causal-noncausal autoregressive models. We show that aggregation preserves noncausality and generates a moving average component. Monte Carlo simulations demonstrate that backward- and forward-looking behavior can be identified empirically for sufficiently large samples.

Source: Economics Letters

DOI: 10.1016/j.econlet.2024.112019

Author: Sean Telg

Institution: Tinbergen Institute

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,980

OpenAlex ID: W4403330084

FWCI:

Cites: 12

Cited by:

Related to: 10