Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "autoregressive model"

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  • Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition 

    Perron, Pierre; VODOUNOU, Cosme (Université de Montréal. Département de sciences économiques., 1998)
    This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero ...

  • Short run and long run causality in time series: Inference 

    Dufour, Jean Marie; Pelletier, Denis; Renault, Éric (Université de Montréal. Département de sciences économiques., 2003)
    We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at ...