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UID:cd2b0ef108761458734441e547d43e28
CATEGORIES:Seminars
CREATED:20180206T154812
SUMMARY:Lunch Seminar: Martin Wagner - TU Dortmund (on leave), Bank of Slovenia
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Some Further Developments in Cointegrating Regression Analysis: Theory for 
 Applications\nAbstrac:\nThe analysis of linear cointegrating relationships 
 in a regression framework is typically carried out using modified least squ
 ares estimators that involve corrections for endogeneity and error serial c
 orrelation in order to obtain limiting distributions that allow for asympto
 tic standard inference. Several such estimation procedures are available in
  the literature. In this talk we survey extensions of two of these estimato
 rs – Fully Modified OLS and Integrated Modified OLS - along four dimensions
 : First, the considered functional forms are more general, with a focus on 
 polynomial-type functions that occur in many applications (environmental Ku
 znets curves, Translog cost and production functions, etc.). With respect t
 o functional form choice, some effort is placed on specification analysis a
 nd testing. Second, we add the cross-sectional dimension to the analysis an
 d discuss appropriate modelling and estimation strategies for situation wit
 h small cross-sectional dimension and cross-sectional dependences, a typica
 l situation in applied macro-econometric analysis. Third, we relax the assu
 mption of stationarity of the underlying processes, thereby extending the c
 ointegration concept to the integrated locally stationary framework. The ta
 lk throughout illustrates the different aspects of the research agenda with
  applications and concludes with a brief outline of the steps ahead. The ta
 lk gives a bird’s eyes view of research undertaken in Dortmund as well as i
 n cooperation with Robert M. de Jong, Mathias Vetter and Timothy J. Vogelsa
 ng.\n\n\n\n
DTSTAMP:20260404T145400Z
DTSTART:20180323T130000Z
DTEND:20180323T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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