Estimation and inference on stochastic trends in large dimensional systems" (M. Franchi, I. Georgiev, P. Paruolo)
The talk will review the recent literature on stochastic trends and cointegration in large dimensional multivariate 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.
Date: 9 February 2024, 14:15 (Friday, 4th week, Hilary 2024)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room A or https://zoom.us/j/93054414699?pwd=YnpYaDhncCtWdGN0MUdJQ1NmRTlGZz09
Speaker: Massimo Franchi (Sapienza Università di Roma)
Organising department: Department of Economics
Part of: Nuffield Econometrics Seminar
Booking required?: Not required
Audience: Members of the University only
Editors: Shreyasi Banerjee, Edward Clark