Research stay at UC3M: DEPARTMENT OF ECONOMICS
Project: The main objective of this research is to develop statistical procedures for inference in non-invertible econometric models, particularly in a multivariate context, having in mind its application to the VAR methodology. Specifically, the research will focus on establishing estimation methods for non-invertible econometric models, and in developing specification tests that will be able to detect the presence of non-invertibility in economic time series, and check that the chosen model is correct.
In comparison with the currently used methodology, which is based on second moments, we will propose procedures based on the information contained in higher order moments. This approach presents two advantages: identification for non-invertible models, and efficiency improvement for invertible models. New estimation and tests procedures will be developed, and rigorously justified, using large sample theory. In addition, the properties for small samples will be studied by Monte Carlo simulations.
Stay Period: JAN 13 - JUN 13