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Mini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics

dc.date.accessioned2019-10-24T14:01:21Z
dc.date.available2019-10-24T14:01:21Z
dc.date.issued2010
dc.identifier.urihttp://publications.mfo.de/handle/mfo/3163
dc.description.abstractModelling multivariate time series of possibly high dimension calls for appropriate dimension-reduction, e.g. by some factor modelling, additive modelling, or some simplified parametric structure for the dynamics (i.e. the serial dependence) of the time series. This workshop aimed to bring together experts in this field in order to discuss recent methodology for multivariate time series dynamics which are changing over time: by an abrupt switch between two (or more) different regimes or rather smoothly evolving over time. The emphasis has been on mathematical methods for semiparametric modelling and estimation, where ”semiparametric” is to be understood in a rather broad sense: parametric models where the parameters are themselves nonparametric functions (of time), regime-switching nonparametric models with a parametric specification of the transition mechanism, and alike. An ultimate goal of these models to be applied to economic and financial time series is prediction. Another emphasis has been on comparing Bayesian with frequentist approaches, and to cover both theoretical aspects of estimation, such as consistency and efficiency, and computational aspects.
dc.titleMini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics
dc.rights.licenseDieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.de
dc.rights.licenseThis document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.en
dc.identifier.doi10.14760/OWR-2010-5
local.series.idOWR-2010-5
local.subject.msc62
local.sortindex603
local.date-range17 Jan - 23 Jan 2010
local.workshopcode1003c
local.workshoptitleMini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics
local.organizersLuc Bauwens, Louvain-la-Neuve; Qiwei Yao, London; Rainer von Sachs, Louvain-la-Neuve
local.report-nameWorkshop Report 2010,5
local.opc-photo-id1003c
local.publishers-doi10.4171/OWR/2010/05
local.ems-referenceBauwens Luc, von Sachs Rainer, Yao Qiwei: Mini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics. Oberwolfach Rep. 7 (2010), 179-216. doi: 10.4171/OWR/2010/05


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