Time aggregation of mixed causal–noncausal models
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. • Aggregation of MAR models leads to ARMA models for which noncausality is preserved. • MA components generated upon aggregation are invertible-noninvertible. • Systematic and flow aggregation generally create different MA orders. • Model identification after aggregation may be adversely affected. • Simulations show that the identification problem vanishes for larger samples.
Authors
- Sean Telg
Institutions
- Tinbergen Institute (NL)
Publication Details
- Journal
- Economics Letters
- Published
- 2024-10-11
- DOI
- https://doi.org/10.1016/j.econlet.2024.112019
- Primary Topic
- Bayesian Modeling and Causal Inference
- Type
- article
- Field-Weighted Citation Impact
- 0.00