Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package

This paper presents the MARX package for the analysis of mixed causal-noncausal autoregressive processes with possibly exogenous regressors. The distinctive feature of MARX models is that they abandon the Gaussianity assumption on the error term.

This deviation from the Box-Jenkins approach allows researchers to distinguish backward (causal) and forward-looking (noncausal) stationary behavior in time series (see e.g. Hecq et al., 2016, for an overview). The MARX package offers functions to simulate, estimate and select mixed causal-noncausal autoregressive models, possibly including exogenous regressors. The procedures for this are discussed in Hecq et al. (2016) for the MAR, and Hecq et al. (2017) for the MARX respectively.