[Forum SIS] avviso seminario: Christian Brownlees

[Lea Petrella]

Christian Brownlees
Department of Economics and Business, Universita' Pompeu Fabra

terra' un seminario dal titolo:

Nets: Network Estimation for Time Series

il giorno 20 maggio 2014 alle ore 14.30 presso l'aula Fanfani, quinto piano
del Dipartimento MEMOTEF, Facolta' di Economia, Sapienza Universita' di
Roma, Viale del Castro Laurenziano 9.

Tutti gli interessati sono invitati a partecipare

Segue abstract in calce

Lea Petrella

Abstract:
This work proposes novel network analysis techniques for multivariate time
series. We define the network of a multivariate time series as a graph
where vertices denote the components of the process and edges denote
non--zero long run partial correlations. We then introduce a two step LASSO
procedure, called NETS, to estimate high--dimensional sparse Long Run
Partial Correlation networks. This approach is based on a VAR approximation
of the process and allows to decompose the long run linkages into the
contribution of the dynamic and contemporaneous dependence relations of the
system. The large sample properties of the estimator are analysed and we
establish conditions for consistent selection and estimation of the
non-zero long run partial correlations. The methodology is illustrated with
an application to a panel of U.S. bluechips

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Prof. Lea Petrella
Memotef Department
Sapienza University of Rome
http://geostasto.eco.uniroma1.it/utenti/petrella
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