[Statlist] Next talk: Friday, March 23, 2012 with Marc Hallin, Universität Brüssel

[Cecilia Rey]

ETH and University of Zurich

Proff. P. Buehlmann -  H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf


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We are glad to announce the following talk

Friday, March 23, 2012, 15.15h, HG G 19.1

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by Marc Hallin, Universität Brüssel

Title:
One-Sided Representations of Generalized Dynamic Factor Models


Absract:
Factor model methods recently have become extremely popular in the  
theory and practice of large panels of time series data. Those methods  
rely on various models which all are particular cases of the  
Generalized Dynamic Factor Model (GDFM) introduced in Forni, Hallin,  
Lippi and Reichlin (2000). In that paper, however, estimation relies  
on Brillinger's concept of dynamic principal components, which  
produces filters that are in general two-sided and therefore yield  
poor performances at the end of the observation period and hardly can  
be used for prediction purposes. In this talk, we show how to remedy  
this problem, and how, based on recent results on singular stationary  
processes with rational spectra, one-sided estimators can be  
constructed for the parameters and the common shocks in the GDFM.  
Consistency is obtained, along with rates. An empirical example, based  
on US macroeconomic time series, compares estimates based on our model  
with those based on the usual static-representation restriction, and  
provides convincing evidence that the assumptions underlying the  
latter are not supported by the data.

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The abstract is also to be found here:  http://stat.ethz.ch/events/research_seminar


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