OxTalks will soon move to the new Halo platform and will become 'Oxford Events.' There will be a need for an OxTalks freeze. This was previously planned for Friday 14th November – a new date will be shared as soon as it is available (full details will be available on the Staff Gateway).
In the meantime, the OxTalks site will remain active and events will continue to be published.
If staff have any questions about the Oxford Events launch, please contact halo@digital.ox.ac.uk
Sign up for meetings on the sheet below:
docs.google.com/spreadsheets/d/11dJmReqBwVO-TwuXHxpjVp01sWyyghk_50Uvc9jt36M/edit#gid=0
If signing up less than two days before the talk, please also email facultyadmin@economics.ox.ac.uk
Abstract:
We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a noticeable property of specific zero-entries in the inverse information of the GARCH-X type models. Specifically, we consider sequential testing based on two likelihood ratio tests and as demonstrated the structure of the inverse information implies that the proposed test neither depends on whether the nuisance parameters lie on the boundary of the parameter space, nor on lack of identification. Our general results on GARCH-X type models are applied to Gaussian based GARCH-X models, GARCH-X models with Student’s t-distributed innovations as well as the integer-valued GARCH-X (PAR-X) models.
View the paper at the following link: papers.ssrn.com/sol3/papers.cfm?abstract_id=3024648
