Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models.

We show that the mixed causal–noncausal vector autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive densities for point and interval forecasting and backcasting out-o...

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Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 25
Main Authors:	Gourieroux, Christian, Jasiak, Joann
Format:	Article
Published:	Oxford University Press / USA 2026
Subjects:	Forecasting Vector autoregression model Markov processes Distribution (Probability theory) Impulse response Time series analysis Autoregressive models
Online Access:	View this record in EBSCOhost