Estimation and Specification in Nonstationary Time Series with Endogeneity
Professor Jiti Gao, Department of Econometrics and Business Statistics; Monash University
2nd Aug 2013 11:00 am - Room 498 Merewether Bldg H04
This presentation gives a survey of some recent developments on estimation and model specification for nonlinear and nonstationary time series. This talk focuses on the discussion of using non-parametric and semi-parametric models to deal with a class of time series models that allow for nonlinearity, nonstationarity and endogeneity. Applications in economics and finance are discussed.