The School of Economics invites you to an Econometrics seminar by Massimo Franchi (Sapienza Università di Roma).

Autoregressive processes, cointegration and related results

Abstract

This talks reviews recent results on autoregressive processes and cointegration in the (possibly infinite dimensional) functional case. In particular, it provides a unified view on the relations between the representation theory of cointegrated processes of any dimension and central notions in linear algebra and operator theory, such as the local Smith form, extended canonical system of root functions, Jordan structure, Jordan chains, and Riesz projection. The many connections with the work of Brendan Beare and coauthors are discussed in detail.