The Financial Econometrics Seminar: 
Time: 10:30 pm
Date: 15th of December 2022
Room 3001

Christian GOURIEROUX (Univ. of Toronto, TSE, and CREST) “Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood”

Abstract : This paper considers nonlinear dynamic models where the main parame-ter of interest is a nonnegative matrix characterizing the network (contagion) effects. This network matrix is usually constrained either by assuming a lim-ited number of nonzero elements (sparsity), or by considering a reduced rank approach for nonnegative matrix factorization (NMF). We follow the latter approach and develop a new probabilistic NMF method. We introduce a new Identifying Maximum Likelihood (IML) method for consistent estimation of the identified set of admissible NMF’s and derive its asymptotic distribution.
Moreover, we propose a maximum likelihood estimator of the parameter ma-trix for a given non-negative rank, derive its asymptotic distribution and the associated efficiency bound.

Joint work : Joan JASIAK (York University).

Organizers:

Jean-Michel ZAKOIAN  (CREST)

Sponsors:
CREST