On causal and non‐causal cointegrated vector autoregressive time series

Previous‐30 treatments of multivariate non‐causal time series have assumed stationarity. In this article, we consider integrated processes in a non‐causal setting. We generalize the Johansen–Granger representation for causal vector autoregressive (VAR) models to allow for dependence on future errors...

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Bibliographic Details

Published in:	Journal of time series analysis Vol. 43; no. 2; pp. 178 - 196
Main Author:	Rygh Swensen, Anders
Format:	Journal Article
Language:	English
Published:	Oxford, UK John Wiley & Sons, Ltd 01.03.2022 Blackwell Publishing Ltd
Subjects:	Autoregressive models Causal models Causality cointegration Errors non‐causal models Time series Treatment methods Vector autoregressive models
ISSN:	0143-9782, 1467-9892
Online Access:	Get full text
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