{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T16:42:42Z","timestamp":1790613762935,"version":"4.1.0"},"reference-count":24,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2020,2,28]],"date-time":"2020-02-28T00:00:00Z","timestamp":1582848000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2020,4]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Mixed causal\u2013noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted into the error term to maintain the MAR structure of the dependent variable. We introduce a representation including these covariates called MARX to study their direct impact. The asymptotic distribution of the MARX parameters is derived for a class of non\u2010Gaussian densities. For a Student \n<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"graphic\/jae2751-math-0001.png\" xlink:title=\"urn:x-wiley:jae:media:jae2751:jae2751-math-0001\"\/> likelihood, closed\u2010form standard errors are provided. By simulations, we evaluate the MARX model selection procedure using information criteria. We examine the influence of the exchange rate and industrial production index on commodity prices.<\/jats:p>","DOI":"10.1002\/jae.2751","type":"journal-article","created":{"date-parts":[[2020,1,20]],"date-time":"2020-01-20T11:29:08Z","timestamp":1579519748000},"page":"328-343","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Mixed causal\u2013noncausal autoregressions with exogenous regressors"],"prefix":"10.1002","volume":"35","author":[{"given":"Alain","family":"Hecq","sequence":"first","affiliation":[{"name":"Department of Quantitative Economics School of Business and Economics, Maastricht University  Maastricht The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Joao Victor","family":"Issler","sequence":"additional","affiliation":[{"name":"Graduate School of Economics\u2014EPGE Getulio Vargas Foundation  Rio de Janeiro Brazil"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sean","family":"Telg","sequence":"additional","affiliation":[{"name":"Department of Econometrics and Operations Research Vrije Universiteit Amsterdam  Amsterdam The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,2,28]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1751-5823.2011.00131.x"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmva.2006.01.005"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(91)90056-8"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-0320-4"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1448830"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12281"},{"key":"e_1_2_9_8_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466618000452"},{"key":"e_1_2_9_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/jtsa.12165"},{"key":"e_1_2_9_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2018.03.012"},{"key":"e_1_2_9_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/rssb.12193"},{"key":"e_1_2_9_12_1","doi-asserted-by":"publisher","DOI":"10.15609\/annaeconstat2009.123-124.0307"},{"key":"e_1_2_9_13_1","doi-asserted-by":"crossref","unstructured":"Hecq A. Lieb L. &Telg S.(2017).Simulation estimation and selection of mixed causal\u2010noncausal autoregressive models: The MARX package. (Working paper)\u00a0 Available at SSRN:https:\/\/ssrn.com\/abstract=3015797","DOI":"10.2139\/ssrn.3015797"},{"key":"e_1_2_9_14_1","doi-asserted-by":"publisher","DOI":"10.3390\/econometrics5040048"},{"key":"e_1_2_9_15_1","unstructured":"Hecq A. &Voisin E.(2019).Forecasting bubbles with mixed causal\u2013noncausal autoregressive models. (MPRA Paper No.\u00a092734).Munich Germany: University Library of Munich."},{"key":"e_1_2_9_16_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-319-13449-9_2"},{"key":"e_1_2_9_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/76.2.297"},{"key":"e_1_2_9_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.08.017"},{"key":"e_1_2_9_19_1","unstructured":"Karapanagiotidis P.(2014).Dynamic modeling of commodity futures prices. (MPRA Paper No.\u00a056805).Munich Germany: University Library of Munich."},{"key":"e_1_2_9_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2012.09.008"},{"key":"e_1_2_9_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.08.003"},{"issue":"4","key":"e_1_2_9_22_1","first-page":"2849","article-title":"Does noncausality help in forecasting economic time series?","volume":"32","author":"Lanne M.","year":"2012","journal-title":"Economics Bulletin"},{"key":"e_1_2_9_23_1","doi-asserted-by":"publisher","DOI":"10.2202\/1941-1928.1080"},{"key":"e_1_2_9_24_1","first-page":"211","article-title":"Noncausality and asset pricing","volume":"17","author":"Lof M.","year":"2013","journal-title":"Studies in Nonlinear Dynamics and Econometrics"},{"key":"e_1_2_9_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.05.024"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2751","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2751","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2751","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2751","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T07:11:34Z","timestamp":1694070694000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2751"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,2,28]]},"references-count":24,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2020,4]]}},"alternative-id":["10.1002\/jae.2751"],"URL":"https:\/\/doi.org\/10.1002\/jae.2751","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,2,28]]},"assertion":[{"value":"2017-09-12","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-12-13","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-02-28","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}