Business Analytics

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.