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.