SMU SOE Online Seminar (Oct 1, 2021, 3.00pm-4.30pm):Inference on the Dimension of the Nonstationary Subspace in Functional Time Series

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TOPIC:

INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES

ABSTRACT We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid estimation of the long-run covariance operator, our test is based on a variance ratio-type statistic. We derive the asymptotic null distribution and prove consistency of the test. Monte Carlo simulations show good performance of our test and provide evidence that it outperforms the existing testing procedure. We apply our methodology to three empirical examples: age-specific US employment rates, Australian temperature curves, and Ontario electricity demand. Keywords:cointegration, functional data, nonstationarity, stochastic trends, variance ratio. JEL Codes: C32. Click here to view the paper. Click here to view the CV.		This seminar will be held virtually via Zoom. A confirmation email with the Zoom details will be sent to the registered email by 30 September 2021.
		PRESENTER Morten Nielsen Aarhus University
		RESEARCH FIELDS Estimation and inference in fractional integration and cointegration models; Semiparametric analysis of long memory processes; Financial econometrics and high frequency data; Unit root and cointegration testing Cluster-robust inference; Bootstrap methods for clustered data.
		DATE: 1 October 2021 (Friday)
		TIME: 3.00pm - 4.30pm

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