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SMU SOE Lee Kong Chian Seminar in Econometrics (Sep 20, 2021, 9.00am-10.00am): When Do Common Time Series Estimands Have Nonparametric Causal Meaning?
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TOPIC:
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WHEN DO COMMON TIME SERIES ESTIMANDS HAVE NONPARAMETRIC CAUSAL MEANING?
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ABSTRACT
The nonparametric potential outcome system provides a foundational framework for giving conditions under which common predictive time series statistical estimands, such as the impulse response function, generalized impulse response function, local projection and local projection instrument variables, have a nonparametric causal interpretation in terms of dynamic causal effects.
Click here to view the CV.
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This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 17 September 2021.
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PRESENTER
Neil Shephard
Harvard University
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RESEARCH FIELDS
Statistics
Econometrics
Finance
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DATE:
20 September 2021 (Monday)
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TIME:
9.00am - 10.00am
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