Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
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English
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This paper stresses the bimodality of the likelihood function of the Mixed causal–noncausal AutoRegressions (MAR), and it is shown that the bimodality issue becomes more salient as the causal root approaches unity from below. The consequences are important as the roots of the local maxima are typically interchanged, attributing the noncausal compon...
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Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
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TN_cdi_crossref_primary_10_1111_obes_12372
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1111_obes_12372
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0305-9049
E-ISSN
1468-0084
DOI
10.1111/obes.12372
