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Time aggregation of mixed causal–noncausal models

  • Economics Letters
  • Elsevier BV
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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.

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DOI
10.1016/j.econlet.2024.112019
OpenAlex
W4403330084
Document type
article
Language
EN
Source
Economics Letters
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