BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20250330T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20251026T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20251211T100000
DTEND;TZID=Europe/Helsinki:20251211T110000
DTSTAMP:20260710T000229
CREATED:20251031T130604Z
LAST-MODIFIED:20251031T130604Z
UID:18537-1765447200-1765450800@crest.science
SUMMARY:Amedeo ANDRIOLLO  (Université Paris-Dauphine PSL)  "Causality versus Serial Correlation: an Asymmetric Portmanteau Test"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:11th of December 2025\nRoom 3001 \nAmedeo ANDRIOLLO (Université Paris-Dauphine PSL) “Causality versus Serial Correlation: an Asymmetric Portmanteau Test” \nAbstract : I study the problem of testing for noncausality in mean (one-sided conditional mean independence) between two multivariate time series within the class of testing procedures based on serial cross-correlation. Existing tests in this class either require parametrization of the joint process or are characterized under the null hypothesis of mutual independence. As a result\, these tests may suffer from size distortions when misspecifying inverse causality\, i.e.\, dependencies in the causal direction opposite to the one being tested. I propose a modified Portmanteau test statistic that incorporates a correction term to offset the influence of inverse causality\, thereby eliminating the need to fully model the joint dynamics. I demonstrate that the proposed test statistic converges asymptotically to a standard normal distribution under the null hypothesis of noncausality in mean\, resulting in correct asymptotic size. As an empirical application\, I explore the statistical properties of my proposed test by studying three widely used measures of macroeconomic structural shocks\, showing that the proposed test provides more reliable inference than the benchmark test. \nOrganizers:  Jean-Michel ZAKOIAN \n  \n
URL:https://crest.science/event/amedeo-andriollo-universite-paris-dauphine-psl-causality-versus-serial-correlation-an-asymmetric-portmanteau-test/
CATEGORIES:Finance-Insurance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR