Inference on the dimension of the nonstationary subspace in functional time series

Seminar 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.

How to join this seminar 

This seminar is free to attend. The seminar will take place online in a password protected Zoom room.

Please contact the organiser for the password.

Speaker bio

Morten ØrregaardNielsen (PhD Aarhus University, 2003) is Professor of Economics at Aarhus University.

He has previously held the David Chadwick Smith Chair in Economics and the Canada Research Chair in Time Series Econometrics at Queen's University, Canada, and prior to that he held appointments at Cornell University and Aarhus University.

His research area is econometric theory with particular focus on non-stationary time series, cointegration, long memory, and cluster-robust inference, and he has published more than 50 peer-reviewed articles in;

• Econometrica,
• Journal of Econometrics,
• Econometric Theory,
• Journal of Business and Economic Statistics,

and many other journals.

He is currently co-editor of Journal of Time Series Analysis and associate editor of Journal of Econometrics, Econometric Theory, and Econometrics Journal, and a former associate editor of Journal of Applied Econometrics.

Among other acknowledgements, he has received the Dan Usher Prize for Excellence in Economics Research at Queen’s University three times and the Econometric Theory Multa Scripsit Award, was Innis Lecturer at the Canadian Economics Association annual conference, is a former member of the Royal Society of Canada College of New Scholars, Artists, and Scientists, and is a Distinguished Authorof the Journal of Time Series Analysis and a Fellow of the Journal of Econometrics.