In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...

This paper presents a model on the demand for money market funds (MMFs). These funds are a very close substitute for M1 deposits, except that MMFs do not satisfy immediate transaction requirements. The demand for MMFs strengthens when the intended volume of transactions is low. A high interest...