[Forum SIS] Seminario di Peter M Robinson

[Marta Nai Ruscone]

--- Apologies for cross-posting ---

Peter M Robinson,
Tooke Emeritus Professor of Economics Science and Statistics at the Department of Economics of the London School of Economics, UK,
will present the paper titled "Long-Range Dependent Curve Time Series" (joint with Degui Li and Han Lin Shang)


Abstract: We introduce methods and theory for functional or curve time series with long range dependence.
The temporal sum of the curve process is shown to be asymptotically normally distributed, the conditions for this covering a functional version of fractionally integrated autoregressive moving averages. We also construct an estimate of the long-run covariance function, which we use, via functional principal component analysis, in estimating the orthonormal functions spanning the dominant sub-space of the curves. In a semiparametric context, we propose an estimate of the memory parameter and establish its consistency. A Monte-Carlo study of finite sample performance is included, along with two empirical applications. The first of these finds a degree of stability and persistence in intra-day stock returns. The second finds similarity in the extent of long memory in incremental age-specific fertility rates across some developed nations.

The seminar will be held at the Department of Economics, Management and Statistics, University of Milano-Bicocca,
Building U7, fourth floor, Aula del Consiglio.
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___________________________________________________________________

Matteo Manera
Professor of Econometrics
Department of Economics, Management and Statistics (DEMS)
University of Milano-Bicocca
Via Bicocca degli Arcimboldi, 8
Building U7 - Office 2107 (ex 219)
20126 - Milano - Italy
Tel.:+39-02-6448 5819 (direct)
E-mail: matteo.manera at unimib.it<mailto:matteo.manera at unimib.it>
Skype: mmanera62
Home-page: www.matteomanera.it<http://www.matteomanera.it>
Facebook: www.facebook.com/profmatteomanera<http://www.facebook.com/profmatteomanera>
SSRN:  http://ssrn.com/author=299771
Ideas: http://ideas.repec.org/f/pma580.html
BOA-IRIS: https://boa.unimib.it/simple-search?query=matteo+manera
DEMS: http://dems.unimib.it/personale/
PhD ECOSTAT: http://www.unimib.it/unimib-international/phd/phd-programmes/ecostat
ORCID: https://orcid.org/0000-0003-1220-8995<http://orcid.org/0000-0003-1220-8995>
ResearchGate: https://www.researchgate.net/profile/Matteo_Manera
Academia: https://unimb.academia.edu/MatteoManera
Berkeley Electronic Press: https://works.bepress.com/matteo_manera/

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