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Department of Mathematics,
Department of Mathematics,
University of California San Diego
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Joint Seminar in Econometrics and Mathematics
Anders Rygh Swensen
University of Oslo
On noncausal reduced rank VAR models
Abstract:
We consider a reduced rank vector autoregressive model where one or several of the roots of the determinant of the characteristic polynomial have modulus stricter than one. We prove a noncausal Johansen-Granger representation for such time series and discuss how the parameters can be estimated. The asymptotic distribution of the trace statistic is also considered. Some Monte Carlo simulations and a small illustration are presented.
Host: Dimitris Politis
April 25, 2017
1:00 PM
Sequoyah Hall 244 (Economics Department)
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