Distinguished Speaker Seminar: Peter M. Robinson

Title: Stochastic and Deterministic Trends

2014.01.20 | Solveig Nygaard Sørensen

Date Thu 18 Sep
Time 14:15 15:15
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2640, Store Sal

The lecture discusses research on modelling and statistical inference on time series. The models feature an unknown memory parameter that can be positive, negative or zero, thereby allowing for long memory, antipersistence and short memory dependence. As well as stationarity, nonstationary stochastic trends are also covered, nesting the familiar I(1) and I(2) classes usually featured in an autoregressive context. The development of the theory of statistical inference is also discussed. Nonstationarity due to deterministic trends is also discussed, focussing on a particular class that nests the familiar polynomial trends, but allows the magnitude of trending to be unknown. Issues of statistical inference on the trend function are also discussed.

Peter M. Robinson is Tooke Professor of Economic Science and Statistics at the London School of Economics. He has held a Leverhulme Trust Personal Research Professorship. He is a Fellow of the Econometric Society, of the Institute of Mathematical Statistics and of the British Academy, and an elected Member of the International Statistical Institute. He has been Co-Editor of Econometrica, of the Journal of Econometrics and of Econometric Theory, and is currently Co-Editor of the Journal of Time Series Analysis and Associate Editor of the Annals of Statistics and Statistical Inference for Stochastic Processes.

The lecture is video recorded and will be available at the CREATES podcast archive.

Everyone is welcome to participate in the Distinguished Speaker Seminar Series.

After the lecture there will be a reception.

Organized by CREATES

Distinguished Speaker Seminar Series