[Statlist] Next talk: Friday, May 29, 2015 with Anastasios Magdalinos (University of Southampton)

[Cecilia Rey]

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ETH and University of Zurich

Organisers:
Proff. P. B�hlmann - L. Held - T. Hothorn - M. Maathuis -
N. Meinshausen - S. van de Geer - M. Wolf

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We are glad to announce the following talk:

Friday, May 29, 2015 at 15.15h  ETH Zurich HG G 19.1
with Anastasios Magdalinos (University of Southampton)                                                ***********************************************************

Title:
Robust Econometric Inference in Cointegrated Systems with Multiple Persistence Degrees 

Abstract:
A new econometric methodology of inference is developed in systems of cointegrating and predictive regressions with unknown and potentially  multiple persistence degrees along equations. It is well known that conventional approaches to estimating cointegrating regressions fail to  produce even asymptotically valid inference procedures when the regressors are nearly integrated, and substantial size distortions can occur in econometric testing. The new framework developed here enables a general approach to inference that resolves this difficulty and is  robust to the persistence characteristics of the regressors, making it suitable for general practical application. Estimation of systems of  time series with mixed I(0), I(1) and all intermediate near I(1) behavior is achieved by means of constructing mildly integrated "IVX" instruments by filtering the system regressors. A mixed Gaussian limit theory is established for the IVX estimator of the full system and a  standard chi-squared limit theory is established for the corresponding IVX based Wald test statistic. This new IVX technique eliminates the  endogeneity problems of conventional cointegration methods with near integrated regressors, accommodates the presence of stationary regressors and robustifies inference to uncertainty over the nature of the (potentially multiple) integration orders present in the system. The methods are easily implemented, widely applicable and help to alleviate practical concerns about the use of cointegration methodology.

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This abstract is also to be found under the following link: http://stat.ethz.ch/events/research_seminar
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