Seminari Università dell'Insubria, Varese

[Paolo Paruolo <paolo.paruolo@uninsubria.it>]

Prossimi seminari:


5 giugno 2001 martedì  ore 15.00, sala 13 - 5°piano Via Ravasi 2

Bent Nielsen (Nuffield College,UK) "Order determination in a general vector 
autoregression".
Abstract
In the application of autoregressive models the order of the model is often 
estimated either using either a sequence of likelihood ratio tests or a 
likelihood based information criterion. The consistency of such procedures 
has been discussed extensively under the assumption that the characteristic 
roots of the autoregression are stationary. Here it will be shown that the 
weak consistency properties hold regardless of the assumption to the 
characteristic roots.


11 giugno 2001 lunedì  ore 16.30, sala 13 - 5°piano Via Ravasi 2

Anders Rahbek (Nuffield College and University of Copenhagen)
"Cointegration in continuous time revisited".
Abstract
Cointegration and general inference in the multivariate Ornstein Uhlenbeck 
(OU) process is considered. Two cases are investigated (i) a continuous 
observation (ii)observations at discrete time points. Our discussion will 
focus on identification issues as well as asymptotic theory. The results 
are illustrated by an empirical analysis of the cost of carry hypothesis.

Il calendario dei seminari è sul sito
http://eco.uninsubria.it/webam/Seminari/index.htm


Paolo Paruolo