Finance & Financial Econometrics : 
Time: 11.30 am
Date: 07th of December 2023
Room 3001

Weifeng JIN (Univ. of Barcelona ) “Estimation of Time Series Models Using the Empirical Distribution of Residuals”

Abstract : Nonfundamental representations of univariate processes have been applied in the fields of Macroeconomics and Finance to describe nonlinear dynamics resulting from future shocks. This paper introduces a novel estimation technique for general linear time series models, potentially noninvertible and noncausal, by utilizing the empirical cumulative distribution function of residuals. The proposed method relies on the generalized spectral cumulative function to characterize the pairwise dependence of residuals at all lags. Model identification can be achieved by exploiting the information in the joint distribution of residuals under the iid assumption. The asymptotic properties of the estimates are investigated without imposing stringent conditions on the higher-order moments or any distributional assumptions on the innovations beyond non-Gaussianity. We also explore finite sample properties through Monte Carlo simulations. Some empirical applications are provided to illustrate the competence of noncausal processes in modeling clustering volatility and local explosiveness.

Organizers:

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST