3 papers
econ.EM2025
Sequential Monte Carlo for Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Stefano Grassi
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for th…
econ.EM2024
VAR models with an index structure: A survey with new results
Gianluca Cubadda
The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI], originally proposed by Reinsel (1983), and their applications to econo…
econ.EM2023
Optimization of the Generalized Covariance Estimator in Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Alain Hecq +1
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi…