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Semi-/Non-parametric Methods for Regressions with Nonstationary Heavy Tailed data.
The Econometrics seminar will receive two visitors in Week 8. Tassos Magdalinos and Ioannis Kasparis will each speak for 45 minutes. Please arrive for the seminar at 14:15 to see both presentations. The entire seminar will be finished by 16:00
We develop semi-/non-parametric methods the yield tractable limit distribution theory in parametric and non-parametric regressions, where the covariate is either a nonstationary fractional process and/or a nearly integrated array. The fractional parameter under consideration is either d=1-1/alpha (weakly nonstationary) or 1-1/alpha < d < 2-1/alpha, with alpha in (0,2]. The alpha parameter corresponds to the stability index of innovations that drive the covariates and are in the domain of attraction of an alpha-stable law.
Date:
17 June 2022, 14:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Lecture Theatre or Join register for online
Speaker:
Ioannis Kasparis (University of Cyprus)
Organising department:
Department of Economics
Part of:
Nuffield Econometrics Seminar
Booking required?:
Recommended
Booking url:
https://zoom.us/meeting/register/tJEqf-qtqj8rGNGEkwHbL-Q8-_XZqmvY77oa
Audience:
Public
Editor:
Emma Heritage
