Fin4Green - PRIN2020 Internal Econometrics Seminars: Igor Kheifets

Title: "On Multicointegration"

  • Date: 20 June 2023 from 16:00 to 17:00

  • Event location: Seminar Room - Piazza Scaravilli, 2

Abstract

A semiparametric triangular system approach shows how multicointegration can occur naturally in an I(1) cointegrated regression model. The framework reveals the source of multicointegration as singularity of the long run error covariance matrix in an I(1) system. The present project shows how estimation and inference of such system are affected by singularity. In particular, we consider asymptotic properties of the well known FM-OLS techniques and propose an approach that uses an extended version of high-dimensional trend IV estimation with deterministic orthonormal instruments.

Local Organizers: Giuseppe Cavaliere and Silvia Sarpietro