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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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