Mini-workshop: Semiparametric modelling of multivariate economic time series with changing dynamics. Abstracts from the mini-workshop held January 17th -- January 23rd, 2010.
Collections of abstracts of lectures (00B05) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)
Summary: Modelling multivariate time series of possibly high dimension calls for appropriate dimension-reduction, e.g. by some factor modelling, additive modelling, or some simplified parametric structure for the dynamics (i.e. the serial dependence) of the time series. This workshop aimed to bring together experts in this field in order to discuss recent methodology for multivariate time series dynamics which are changing over time: by an abrupt switch between two (or more) different regimes or rather smoothly evolving over time. The emphasis has been on mathematical methods for semiparametric modelling and estimation, where semiparametric is to be understood in a rather broad sense: parametric models where the parameters are themselves nonparametric functions (of time), regime-switching nonparametric models with a parametric specification of the transition mechanism, and alike. An ultimate goal of these models to be applied to economic and financial time series is prediction. Another emphasis has been on comparing Bayesian with frequentist approaches, and to cover both theoretical aspects of estimation, such as consistency and efficiency, and computational aspects.
- Mini-workshop: Time series with sudden structural changes. Abstracts from the mini-workshop held February 24 -- March 1, 2008.
- Semiparametric and nonparametric methods in econometrics. Abstracts from the workshop held March 18--24, 2007.
- Multivariate modelling of non-stationary economic time series
- A semiparametric approach for modelling multivariate nonlinear time series
- Semiparametric approaches to signal extraction problems in economic time series
- Time series modelling with semiparametric factor dynamics
- A semiparametric regression model with structural change and its series estimator
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