Event

The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics by James Duffy

Join Professor James Duffy for an online event, part of the Econometrics Research Seminar Series, Autumn Term 2021

  • Wed 1 Dec 21

    16:00 - 17:30

  • Colchester Campus

    Zoom

  • Event speaker

    Professor James Duffy

  • Event type

    Lectures, talks and seminars
    Econometrics Research Seminar Series

  • Event organiser

    Economics, Department of

Join Professor James Duffy as they present their research on The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics

The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics by James Duffy

Join us for this weeks Econometrics Research Seminar, Autumn Term 2021

Professor James Duffy from the Department of Economics, Corpus Christi College, University of Oxford will present their research on The Cointegrated VAR without Unit Roots: Representation Theory and Asymptotics.

Abstract

It has been known since Elliott (1998) that efficient methods of inference on cointegrating relationships break down when autoregressive roots are near but not exactly equal to unity. This paper addresses this problem within the framework of a VAR with non-unit roots. We develop a characterisation of cointegration, based on the impulse response function implied by the VAR, that remains meaningful even when roots are not exactly unity. Under this characterisation, the long-run equilibrium relationships between the series are identified with a subspace associated to the largest characteristic roots of the VAR. We analyse the asymptotics of maximum likelihood estimators of this subspace, thereby generalising Johansen’s (1995) treatment of the cointegrated VAR with exactly unit roots. Inference is complicated by nuisance parameter problems similar to those encountered in the context of predictive regressions, and can be dealt with by approaches familiar from that setting.

This seminar will be held via webinar on Zoom at 4pm on Wednesday 1st December. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.

 

Contact the seminar organisers
Contact the seminar organisers
Neslihan Sakarya Department of Economics
University of Essex
Department of Economics University of Essex
Wivenhoe Park, Colchester, Essex, CO4 3SQ
Telephone: 01206 872728

Related events