Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package

18 Pages Posted: 10 Aug 2017

See all articles by Alain Hecq

Alain Hecq

Maastricht University - Department of Quantitative Economics

Lenard Lieb

Maastricht University; Maastricht University

Sean Telg

Maastricht University - Department of Quantitative Economics

Date Written: August 9, 2017

Abstract

This paper presents the MARX package for the analysis of mixed causal-noncausal autoregressive processes with possibly exogenous regressors. The distinctive feature of MARX models is that they abandon the Gaussianity assumption on the error term.

This deviation from the Box-Jenkins approach allows researchers to distinguish backward (causal) and forward-looking (noncausal) stationary behavior in time series (see e.g. Hecq et al., 2016, for an overview). The MARX package offers functions to simulate, estimate and select mixed causal-noncausal autoregressive models, possibly including exogenous regressors. The procedures for this are discussed in Hecq et al. (2016) for the MAR, and Hecq et al. (2017) for the MARX respectively.

Keywords: MARX, mixed causal-noncausal autoregressive process, t-MLE, estimation, model selection, simulation, R

JEL Classification: C22, E31, E37

Suggested Citation

Hecq, Alain and Lieb, Lenard and Telg, Sean, Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package (August 9, 2017). Available at SSRN: https://ssrn.com/abstract=3015797 or http://dx.doi.org/10.2139/ssrn.3015797

Alain Hecq

Maastricht University - Department of Quantitative Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.maastrichtuniversity.nl/a.hecq

Lenard Lieb

Maastricht University ( email )

P.O. Box 616
Maastricht, 6200MD
Netherlands

Maastricht University ( email )

P.O. Box 616
Maastricht, 6200MD
Netherlands

Sean Telg (Contact Author)

Maastricht University - Department of Quantitative Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.maastrichtuniversity.nl/j.telg

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