avviso seminario

[Elena Stanghellini <stanghel@stat.unipg.it>]

 Il giorno 22 novembre, lunedi', alle ore 15.00 il prof.
 Soren Johansen del Department of Economics, European University
 Institute, terra', presso il Dipartimento di Scienze Statistiche
 dell'Unversita' di Perugia, il seguente seminario:


 Titolo: Common trends in the cointegrated VAR model.
 

 Abstracts: This seminar collects some results on the common trends which drive
 a cointegrated I(1) process. We discuss the definition of common trends and
 how they can be represented as linear combinations of the process. This
 leads to some decompositions of the process. Inference for the coefficients
 is briefly discussed. We discuss impulse response functions for I(1)
 variables and define the permanent and transitory shocks.
 The interpretation of cointegrating coefficients is discussed.


 Tutti gli interessati sono invitati a partecipare.

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Elena Stanghellini 
Dipartimento di Scienze Statistiche
Via A. Pascoli - C.P. 1315 Succ. 1
06100 Perugia (Italy)

Tel +39 075 5855229 or 5855242
Fax +39 075 43242

email: stanghel@stat.unipg.it
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