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非因果向量自回归过程及其经济时间序列应用AI 解读

Inference procedures for noncausal autoregressive (AR) models have been well studied and applied in a variety of applications from environmental to financial. For such processes, the observation at time t may depend on both past and future shocks in the system. In this paper, we consider extension of the univariate noncausal AR models to the vector AR (VAR) case. The extension presents several interesting challenges since even a first-order VAR can possess both causal and…

高于一阶的移动平均模型中的单位根AI 解读

The asymptotic theory of various estimators based on Gaussian likelihood has been developed for the unit root and near unit root cases of a first-order moving average model. Previous studies of the MA(1) unit root problem rely on the special autocovariance structure of the MA(1) process, in which case, the eigenvalues and eigenvectors of the covariance matrix of the data vector have known analytical forms. In this paper, we take a different approach to first consider the…