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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Vydané v:	Journal of time series analysis Ročník 43; číslo 2; s. 178 - 196
Hlavný autor:	Rygh Swensen, Anders
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Oxford, UK John Wiley & Sons, Ltd 01.03.2022 Blackwell Publishing Ltd
Predmet:	Autoregressive models Causal models Causality cointegration Errors non‐causal models Time series Treatment methods Vector autoregressive models
ISSN:	0143-9782, 1467-9892
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