Telg, S. (2024). Time aggregation of mixed causal–noncausal models Economics Letters, 244:.
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Affiliated authorSean Telg
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Publication year2024
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JournalEconomics Letters
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.