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比利时vs摩洛哥足彩
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比利时vs摩洛哥足彩
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university of california san diego
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joint seminar in econometrics and mathematics
anders rygh swensen
university of oslo
on noncausal reduced rank var models
abstract:
we consider a reduced rank vector autoregressive model where one or several of the roots of the determinant of the characteristic polynomial have modulus stricter than one. we prove a noncausal johansen-granger representation for such time series and discuss how the parameters can be estimated. the asymptotic distribution of the trace statistic is also considered. some monte carlo simulations and a small illustration are presented.
host: dimitris politis
april 25, 2017
1:00 pm
sequoyah hall 244 (economics department)
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