Time aggregation of mixed causal–noncausal models

C-Tier
Journal: Economics Letters
Year: 2024
Volume: 244
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:244:y:2024:i:c:s0165176524005032
Journal Field
General
Author Count
1
Added to Database
2026-01-29