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Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien.
In: MPRA Paper.
RePEc:pra:mprapa:81345.

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Cited: 12

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  1. Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20230065.

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  2. A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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  3. Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3.

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  4. Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco.
    In: Papers.
    RePEc:arx:papers:2012.01888.

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  5. Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa.
    In: MPRA Paper.
    RePEc:pra:mprapa:92734.

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  6. Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing *. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn .
    In: Working Papers.
    RePEc:hal:wpaper:hal-02175760.

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  7. Helicopter Drops of Money under Secular Stagnation. (2019). Michau, Jean-Baptiste.
    In: Working Papers.
    RePEc:crs:wpaper:2019-10.

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  8. Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn .
    In: Working Papers.
    RePEc:crs:wpaper:2019-09.

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  9. Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI.
    In: Papers.
    RePEc:arx:papers:1904.05952.

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  10. A Time-Varying Parameter Model for Local Explosions. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Nientker, Marc.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180088.

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  11. Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:430.

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  12. Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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  58. Some Higher Order Theory for a Consistent Nonparametric Model Specification Test. (1997). LINTON, OLIVER ; Fan, Yanqin.
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  59. The Bierens test under data dependence. (1996). de jong, Robert ; deJong, Robert M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:72:y:1996:i:1-2:p:1-32.

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