[Forum SIS] Time Series Workshop, Friday April 8 2011, CEIS-Tor Vergata, Rome

[Tommaso Proietti]

CEIS-Tor Vergata invites you to attend the TIME SERIES WORKSHOP that will
held next Friday April 8, 2011 at the Faculty of Economics, University of
Rome "Tor Vergata", Via Columbia 2, room “Sala del Consiglio”, B-building,
2° floor.

 

PROGRAMME

 

-        11.00am-12.00am.          Prof David Findley (US Census Bureau):
“Selection Between Non-Nested Models Through Multi-Step-Ahead Forecasting” 

 

Abstract: We will motivate and describe two new test statistics for deciding
if one ARIMA model provides significantly better h-step-ahead forecast than
an a second ARIMA model. The two statistics differ in the standard error
estimates used to normalize the statistic: one accounts for parameter
estimation and the other treats the parameters as fixed. Both offer
improvements over statistics of Diebold-Mariano type. Size and power study
results will be present, as well as an empirical study using series from two
widely used textbooks.

 

-        12.00am-1.00pm,            Prof Sung K. Ahn (Washington State
University) “Estimation of Cointegrated Model with Exogenous Variables”

 

Abstract: We consider an m-dimensional vector autoregressive process Zt of
integrated order 1, I(1), such that Zt = (Yt',Xt')' where Yt is an
my-dimensional vector process of endogenous variables and Xt is an
mx-dimensional vector process of exogenous variables with my+ mx = m. We
assume that there are r cointegration relations in Zt. Johansen (1992),
Harbo et al. (1998), and Pesaran et al. (2000), considered inference of such
process Zt assuming the weak exogeneity of Xt, which in turn implies that
the Xt is not cointegrated. In this paper, we consider the case where
exogenous variables are cointegrated with rank rx<mx. Parameterization and
estimation of this model are considered and the asymptotic properties of the
least square estimator (LSE) and the maximum likelihood estimator (MLE) are
presented. Parameterization in this paper can be easily applicable to the
models considered in Mosconi and Giannini (1992) and Pradel and Rault
(2003). The finite sample properties of the estimators are also examined
through a Monte Carlo simulation. A real date example is presented to
illustrate the methods.

 

 

Please, go to www.ceistorvergata.it for the complete list of seminars and
events at CEIS.

How to reach us: http://web.uniroma2.it/mobilita/index.html
http://www.economia.uniroma2.it/area.asp?a=867

 

 

 

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