The 'Derived' Moving-Average Model and its Role in Causality - Financial and Economic Forecasting (Chapter 5)

17 Pages Posted: 8 Jan 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Date Written: October 2002

Abstract

In the situations where restrictions on the multivariate subset AR model are known, we propose methods of providing suitable standard errors of estimate and prediction which assist in assessing the importance of the coefficients appearing the 'derived' moving-average (MA) model. The coefficient patterns of the derived moving-average model are proposed as an alternative basis for detecting Granger-causality.

Keywords: The 'Derived' Moving-Average Model, causality

JEL Classification: C22, C53, E31

Suggested Citation

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, The 'Derived' Moving-Average Model and its Role in Causality - Financial and Economic Forecasting (Chapter 5) (October 2002). Available at SSRN: https://ssrn.com/abstract=358901 or http://dx.doi.org/10.2139/ssrn.358901

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (Phone)
61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

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