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比利时vs摩洛哥足彩 ,
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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