Econometrics Seminar | Estimation and inference on stochastic trends in large dimensional systems by Massimo Franchi
School of Economics
Invites you to a
Econometrics seminar presented by
Estimation and inference on stochastic trends in large dimensional systems
Wednesday 29 November 2023
2.00pm – 3.30pm
Level 6 Seminar Room (650)
A02 Social Sciences Building
Camperdown Campus
The University of Sydney NSW 2006
The talk will review the recent literature on stochastic trends and cointegration in large dimensional multivariate (possibly functional) time series and present new results on estimation and inference in these systems. The limit distributions of empirical eigenvalues and eigenvectors associated with alternative novel Canonical Correlations Analyses (CCA) will be discussed. It will be shown how these CCA deliver estimators of the number of common trends and of a basis of the common trends loadings space. (Super-)consistency as well as the asymptotic distributions of estimators are derived. The properties of the estimators are compared with existing alternatives both theoretically and via Monte Carlo simulations.
For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)
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