Econometrics Seminar | Common Trends and Long-Run Multipliers in Nonlinear Structural VARs by James Duffy – School of Economics Econometrics Seminar | Common Trends and Long-Run Multipliers in Nonlinear Structural VARs by James Duffy – School of Economics

Econometrics Seminar | Common Trends and Long-Run Multipliers in Nonlinear Structural VARs by James Duffy

School of Economics

Invites you to a 

Econometrics seminar presented by

 

James A. Duffy
University of Oxford

Common Trends and Long-Run Multipliers

in Nonlinear Structural VARs

 

Co-author:

Sophocles Mavroeidis (University of Oxford)

Wednesday 27 March 2024

2.00pm – 3.30pm

 

Seminar Room 650

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

 

 While it is widely recognised that linear (structural) VARs may omit important features of macroeconomic time series, the use of nonlinear SVARs has to date been almost entirely confined to the modelling of stationary time series, because of a lack of understanding as to how common stochastic trends may be accommodated within nonlinear models. This has unfortunately circumscribed the range of macroeconomic series to which such models can be applied — and/or required that these series be first transformed to stationarity, a potential source of misspecification — and prevented the use of long-run identifying restrictions in these models. To address these problems, we develop a flexible class of nonlinear SVARs, which subsume models with threshold-type endogenous regime switching, both of the piecewise linear and smooth transition varieties. We extend the Granger-Johansen representation theorem to this class of models, obtaining conditions that specialise exactly to the usual ones when the model is linear. These models are shown capable of supporting both linear and nonlinear forms of cointegration, where the latter is understood in the profound sense of series having common nonlinear stochastic trends, with possibly nonlinear cointegrating relations between those trends. We further show that, as a consequence, these models are capable of supporting the same kinds of long-run identifying restrictions as are available in linearly cointegrated SVARs.

 For further information contact: Econometrics seminar series coordinator Dr Dakyung Seong (dakyung.seong@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar

Date

Mar 27 2024
Expired!

Time

2:00 pm - 3:30 pm

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