Factor Augmented Vector Autoregressive Models under High Dimensional Scaling

George Michailidis (Director of Informatics Institute,University of Florida)

演講地點: 

天數 440

時間: 

2018-06-20 (星期三) 10:20 - 11:20

演講摘要: 

Vector Autoregressive Models (VAR) are widely used in applied economics and finance. In this talk, we consider a VAR model augmented with dynamically evolving factors. The time series modeled as a VAR, together with the dynamic factors relate to a large number of other time series hat aid in the identifiability of the model parameters. We investigate the identifiability of such models, as well as estimation and inference issues under high-dimensional scaling. The performance of the proposed methods is assessed through synthetic data and the methodology is illustrated on an economic data set.

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