[Forum SIS] seminario prof. Johansen (alla Sapienza)

[Fulvio De Santis]

Si inoltra l'avviso di seminario che il prof. S. Johansen terrà presso il Dipartimento di Scienze Statistiche 
dell'Università Sapienza di Roma il giorno 7 novembre 2011. 

Saluti cordiali
Fulvio De Santis e Stefano Fachin

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Titolo: The analysis of nonstationary time series using regression,
correlation and cointegration -- with an application to annual mean
temperature and sea level 

Relatore: Søren Johansen
University of Copenhagen and CREATES University of Aarhus 

Abstract:
There are simple well-known conditions for the validity of regression and
correlation as statistical tools. We analyse by examples the effect of
nonstationarity on inference using these methods and compare them to model
based inference. Finally we analyse some data on annual mean temperature
and sea level, by applying the cointegrated vector autoregressive model,
which explicitly takes into account the nonstationarity of the variables.

DATA: lunedì' 7 novembre 2011
ORE: 15
LUOGO: Sala 34 del Dipartimento di Scienze Statistiche, Sapienza Università di Roma.
Piazzale Aldo Moro 5, Roma