Automatic Selection of Multivariate Dynamic Econometric Models
Conference title
Automatic Selection of Multivariate Dynamic Econometric Models
Venue
RLB 303, Research Complex, HKSYU
Department/Organizer
Start date
26-06-2019
End date
26-06-2019
Detail
Inter-Institutional Development Scheme (IIDS) – Recent Development in Theoretical and Applied Econometrics Analysis – Seminar: Automatic Selection of Multivariate Dynamic Econometric Models. Speaker: Dr. Jurgen Doornik.
Abstract: Automatic general-to-specific selection of univariate econometric models is now well established and available in software. Extensions include saturation estimators, e.g. adding an impulse dummy for every observation to handle outliers. This seminar will provide an overview of the approach, and then consider extension of these procedures to the multivariate setting. The starting point is a vector autoregression, and the final stage can be a simultaneous equations model where the role of identification is considered. The aim is to obtain procedures trhat are relevant for empirical modelling.
Abstract: Automatic general-to-specific selection of univariate econometric models is now well established and available in software. Extensions include saturation estimators, e.g. adding an impulse dummy for every observation to handle outliers. This seminar will provide an overview of the approach, and then consider extension of these procedures to the multivariate setting. The starting point is a vector autoregression, and the final stage can be a simultaneous equations model where the role of identification is considered. The aim is to obtain procedures trhat are relevant for empirical modelling.
Type
Seminar