Alain Hecq

big data and econometrics seminar

Alain Hecq

Maastricht University
Detecting co-movements in asymmetric cycles: A noncausal time series approach
Lieu

VC Salle A

Centre de la Vieille-Charité - Salle A

Centre de la Vieille Charité
2 rue de la Charité
13002 Marseille

Date(s)
Mardi 8 mars 2016| 14:30 - 16:00
Contact(s)

Habiba Djebbari : habiba.djebbari[a]univ-amu.fr
Sébastien Laurent : sebastien.laurent[at]univ-amu.fr

Résumé

This paper introduces the notion of common noncausal feature and proposes tools for detecting the presence of co-movements in stationary economic and financial time series such as variables with asymmetric cycles or bubbles. For purely noncausal models, i.e., forward looking VARs, we estimate reduced rank regressions in reverse time in order to highlight the potential presence of such noncausal co-movements. For more than one lead or lag, we are able to determine whether the VAR is better represented by purely causal or purely noncausal reduced rank models. Using both sets of lag and lead instruments within a canonical correlation or a GMM framework, additional relationships are discovered between series, both in the Monte Carlo simulations and in empirical illustrations. For mixed causal-noncausal models though, an approximate maximum likelihood estimator assuming non Gaussian disturbances is needed.

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