This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. We argue that noncausal autoregressive models are especially well suited for modeling expectations. Unlike conventional causal autoregressive models, they explicitly...

We develop tests for predictability in a first-order ARMA model often suggested for stock returns. Instead of the conventional ARMA model, we consider its non-Gaussian and noninvertible counterpart that has identical autocorrelation properties but allows for conditional heteroskedasticity...

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed for forecasting such time series because the prediction problem is generally nonlinear and therefore no...

In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...

Lagged variables are often used as instruments when the generalized method of moments (GMM) is applied to time series data. We show that if these variables follow noncausal autoregressive processes, their lags are not valid instruments and the GMM estimator is inconsistent. Moreover, in this...

This is a supplementary appendix to "Noncausal Vector Autoregression".

In this paper we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling moderate skewness and kurtosis typically encountered in stock return series. The need to allow for skewness can also be readily...

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the article and further informal checks, the model is capable of capturing both of the typical characteristics of the...