The Perils Of Non-Causal Models: r* Edition — Brian Romanchuk

Summary:
One important property of time series is models is whether they are causal or non-causal. A non-causal model has the property that future values of inputs affects the current values of outputs. For time series, the calculation implies the use of a time machine, which is generally not available. One needs to be careful of the issues posed by non-causality in financial model building, since time series libraries treat time series as single units, and contain many non-causal operations.... Bond Economics The Perils Of Non-Causal Models: r* EditionBrian Romanchuk

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