##### 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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