Nonparametric Estimation and Testing for Time- Varying VAR Models
Speaker: Prof. Jiti Gao
Affiliation: Monash University
Location: Room 309, Steele Building (#03), UQ St Lucia campus
Abstract
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients and covariance matrix of the error innovations are allowed to change smoothly over time. Accordingly, we establish a set of asymptotic properties including the impulse response analyses subject to structural VAR identification conditions, an information criterion to select the optimal lag, and a Wald–type test to determine the constant coefficients. Simulation studies are conducted to evaluate the theoretical findings. Finally, we demonstrate the empirical relevance and usefulness of the proposed methods through an application on US government spending multipliers.
About the presenter's meeting
Prof. Jiti Gao will be visiting the School of Economics on Friday, 9th September. While here, he will be using Room 520A, Level 5, Colin Clark Building. If you would like to meet with please contact Dr Eric Eisenstat who will be his host while at The University of Queensland.
About School Seminar Series
The School of Economics General Seminar Series is held on Fridays. These are in-person and presented by a range of guest researchers from around Australia and internationally.