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Hamdi RAISSI (PUC Valparaiso, Chile) “On the VAR modelling of unconditionnally heteroscedastic time series”

January 31, 11:00 am - 12:00 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 11:00 am
Date: 31th of January 201
Place: Room 3001

Hamdi RAISSI (PUC Valparaiso, Chile) “On the VAR modelling of unconditionnally heteroscedastic time series”

Abstract : In this talk we present tools for the statistical analysis of unconditionnally heteroscedastic time series using vector autoregressive models. In our specification the conditional mean is assumed constant, while the covariance of the errors terms are time-varying. Such framework is suggested by numerous papers in the literature (see e.g. Stock and Watson (2002) or Xu and Phillips (2008)). The properties of the adaptive least squares estimator are presented. Two strategies for checking the goodness-of-fit are proposed. We will also present an AIC taking into account for the non constant variance. Concepts related to VAR models in Econometrics like (instantaneous) Granger causality in mean testing, or orthogonal impulse responses function analysis in our context will be discussed.

 

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
January 31
Time:
11:00 am - 12:00 pm
Event Categories:
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