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Persistent link: https://www.econbiz.de/10013198842
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is computed with the Hodrick-Prescott filter...
Persistent link: https://www.econbiz.de/10013533248