{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T16:42:41Z","timestamp":1790613761391,"version":"4.1.0"},"reference-count":35,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2010,10,14]],"date-time":"2010-10-14T00:00:00Z","timestamp":1287014400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2012,8]]},"abstract":"<jats:title>SUMMARY<\/jats:title><jats:p>In this paper, we propose a Bayesian estimation and forecasting procedure for noncausal autoregressive (AR) models. Specifically, we derive the joint posterior density of the past and future errors and the parameters, yielding predictive densities as a by\u2010product. We show that the posterior model probabilities provide a convenient model selection criterion in discriminating between alternative causal and noncausal specifications. As an empirical application, we consider US inflation. The posterior probability of noncausality is found to be high\u2014over 98%. Furthermore, the purely noncausal specifications yield more accurate inflation forecasts than alternative causal and noncausal AR models. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1217","type":"journal-article","created":{"date-parts":[[2010,10,15]],"date-time":"2010-10-15T03:39:21Z","timestamp":1287113961000},"page":"812-830","source":"Crossref","is-referenced-by-count":21,"title":["BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS"],"prefix":"10.1002","volume":"27","author":[{"given":"Markku","family":"Lanne","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Arto","family":"Luoma","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jani","family":"Luoto","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,10,14]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2006.01.005"},{"key":"e_1_2_10_3_1","first-page":"2","article-title":"Are Phillips curves useful for forecasting inflation?","volume":"25","author":"Atkeson A","year":"2001","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/44.3-4.533"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.11003"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(91)90056-8"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1013699986"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-0320-4"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1390675"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391964"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3980120802"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.031"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-3932(99)00023-9"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2005.08.005"},{"key":"e_1_2_10_15_1","doi-asserted-by":"crossref","first-page":"501","DOI":"10.1111\/j.2517-6161.1994.tb01996.x","article-title":"Bayesian model choice: Asymptotics and exact calculations","volume":"56","author":"Gelfand AE","year":"1994","journal-title":"Journal of Royal Statistical Society"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1214\/ss\/1177011136"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080504"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939908800428"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1002\/0471744735"},{"key":"e_1_2_10_20_1","first-page":"77","volume-title":"Rational Expectations Econometrics","author":"Hansen LP","year":"1991"},{"key":"e_1_2_10_21_1","doi-asserted-by":"publisher","DOI":"10.1214\/ss\/1009212519"},{"key":"e_1_2_10_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00216"},{"key":"e_1_2_10_23_1","doi-asserted-by":"crossref","unstructured":"KasaK WalkerTB WhitemanCH.2007.Asset prices in a time series model with perpetually disparately informed competitive traders. CAEPR working paper Indiana University Bloomington IN USA.","DOI":"10.2139\/ssrn.932693"},{"key":"e_1_2_10_24_1","volume-title":"Bayesian Econometrics","author":"Koop G","year":"2003"},{"key":"e_1_2_10_25_1","doi-asserted-by":"crossref","unstructured":"LanneM SaikkonenP.2008.Modeling expectations with noncausal autoregressions. HECER Discussion Paper No. 212.","DOI":"10.2139\/ssrn.1210122"},{"key":"e_1_2_10_26_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391384"},{"key":"e_1_2_10_27_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(99)00077-9"},{"key":"e_1_2_10_28_1","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1111\/j.2517-6161.1995.tb02017.x","article-title":"Fractional Bayes factors for model comparison","volume":"57","author":"O'Hagan A","year":"1995","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"e_1_2_10_29_1","doi-asserted-by":"publisher","DOI":"10.2307\/2171845"},{"key":"e_1_2_10_30_1","doi-asserted-by":"publisher","DOI":"10.1257\/000282806776157560"},{"key":"e_1_2_10_31_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.97.3.586"},{"key":"e_1_2_10_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1538-4616.2007.00014.x"},{"key":"e_1_2_10_33_1","doi-asserted-by":"crossref","unstructured":"StockJ WatsonM.2008.Phillips curve inflation forecasts. Working Paper No. W14322 NBER Cambridge MA.","DOI":"10.3386\/w14322"},{"key":"e_1_2_10_34_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.2003.00332.x"},{"key":"e_1_2_10_35_1","doi-asserted-by":"crossref","first-page":"431","DOI":"10.1111\/j.2517-6161.1984.tb01317.x","article-title":"Outlier models and prior distributions in Bayesian linear regression","volume":"46","author":"West M","year":"1984","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"e_1_2_10_36_1","volume-title":"An Introduction to Bayesian Inference in Econometrics","author":"Zellner A","year":"1971"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1217","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1217","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,26]],"date-time":"2025-02-26T20:09:50Z","timestamp":1740600590000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.1217"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,10,14]]},"references-count":35,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,8]]}},"alternative-id":["10.1002\/jae.1217"],"URL":"https:\/\/doi.org\/10.1002\/jae.1217","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,10,14]]}}}