A0936
Title: Introducing fractional integration in mixed causal-noncausal models
Authors: Sean Telg - Vrije Universiteit Amsterdam (Netherlands) [presenting]
Sebastien Fries - Vrije Universiteit Amsterdam (Netherlands)
Jorik van der Oord - Vrije Universiteit Amsterdam (Netherlands)
Jean-Michel Zakoian - CREST (France)
Abstract: The notion of fractional integration is introduced into the mixed causal-noncausal autoregressive (MAR) model. It is shown that this new model, called FIMAR, is able to generate baseline paths that exhibit combinations of exponential and hyperbolic growth as often observed in speculative bubbles. For a general class of error distributions, stationarity conditions and the existence of a purely causal second-order equivalent (SOE) form of the FIMAR model are derived. Using this SOE representation in combination with a Whittle-type estimator, it is demonstrated how to perform model selection for FIMAR models.
