To: All students and staff members,

After careful consideration as well as consultation with stakeholders, the University has decided to replace all face-to-face teaching with online teaching and assessment with effect from 18 November 2019 until the end of the teaching semester on 13 December 2019. If individual teachers, after consultation with students, wish to employ small-group interactive teaching, the University will provide the necessary assistance to realise such objective. Details of these arrangements will be announced shortly.

The Registry

IIDS Seminar: Automatic Selection of Multivariate Dynamic Econometric Models


Speaker: Dr. Jurgen DOORNIK (University of Oxford)

Date: 26 June 2019 (Wed)

Time: 3:30pm – 5:30pm

Venue: RLB303, Research Complex

Abstract: Automatic general-to-specific selection of univariate econometric models is now well established and available in software. Extensions include saturation estimators, e.g. adding an impulse dummy for every observation to handle outliers. This seminar will provide an overview of the approach, and then consider extension of these procedures to the multivariate setting. The starting point is a vector autoregression, and the final stage can be a simultaneous equations model where the role of identification is considered. The aim is to obtain procedures that are relevant for empirical modelling.