[Forum SIS] Annuncio seminario - Gianluca Cubadda

[Statlab- UNISA]

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Annuncio Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES

Università degli Studi di Salerno

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Mercoledì 6 maggio 2015, h. 14.30  - Sala del Consiglio DiSES, Stecca 3 - 1°
piano

 

Gianluca Cubadda (Università di Roma "Tor Vergata")

 

Index-Augmented Autoregressive Models: Representation, Estimation and
Forecasting

 

ABSTRACT

We examine the condition under which each individual series that is
generated by a n-dimensional Vector Autoregressive Model can be represented
as an autoregressive model that is augmented with the lags of q linear
combinations of all the variables in the system. We call this modelling
Index-Augmented Autoregressions (IAAR). We show that the parameters of the
IAAR can be estimated by a switching algorithm that increases the Gaussian
likelihood at each iteration. Provided that the number of factors q times
the VAR order p is small compared to the sample size T, our approach can be
applied even when the number of series n is large. We illustrate the
usefulness of the IAAR modelling both by empirical applications and
simulations.

 

Tutti gli interessati sono cordialmente invitati a partecipare.

 

Laboratorio di Ricerca e Formazione avanzata in Statistica (STATLAB)
<http://www.dises.unisa.it/centri_laboratori/statlab/index> 

Dipartimento di Scienze Economiche e Statistiche - DiSES
<http://www.dises.unisa.it/index>  

 

Università degli Studi di Salerno 

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132

 

 

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