Events at The University of Manchester
  • University home
  • Events
  • Home
  • Exhibitions
  • Conferences
  • Lectures and seminars
  • Performances
  • Events for prospective students
  • Family events
  • All Events

Econometrics and Applied Economics workshop: Prof Robert Taylor

image
Dates:26 November 2015
Times:16:15 - 16:15
What is it:Seminar
Organiser:School of Social Sciences
Who is it for:University staff
Speaker:Robert Taylor
See travel and contact information
Add to your calendar

Other events

  • In category "Seminar"
  • In group "(SoSS) Economics"
  • By School of Social Sciences

“Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point”

Joint with Steve Leybourne (Nottingham) and David Harris (Monash).

Abstract: “In this paper we consider the problem of testing for the co-integration rank of a vector autoregressive process in the case where a trend break may potentially be present in the data. It is known that un-modelled trend breaks can result in tests which are incorrectly sized under the null hypothesis and inconsistent under the alternative hypothesis. Extant procedures in this literature have attempted to solve this inference problem but require the practitioner to either assume that the trend break date is known or to assume that any trend break cannot occur under the co-integration rank null hypothesis being tested. These procedures also assume the autoregressive lag length is known to the practitioner. All of these assumptions would seem unreasonable in practice. Moreover in each of these strands of the literature there is also a presumption in calculating the tests that a trend break is known to have happened. This can lead to a substantial loss in finite sample power in the case where a trend break does not in fact occur. Using information criteria based methods to select both the autoregressive lag order and to choose between the trend break and no trend break models, using a consistent estimate of the break fraction in the context of the former, we develop a number of procedures which deliver asymptotically correctly sized and consistent tests of the co-integration rank regardless of whether a trend break is present in the data or not. By selecting the no break model when no trend break is present, these procedures also avoid the potentially large power losses associated with the extant procedures in such cases.”

Speaker

Robert Taylor

Role: Professor

Organisation: University of Essex

Biography: Professor Taylor took his PhD from Cambridge University in 1997. He has previously held academic posts at the Universities of York, Birmingham and Nottingham. He is a fellow of the Journal of Econometrics. Professor Taylor is Editor-in-Chief of the Journal of Time Series Analysis, a Co-Editor of Econometric Theory, and an Associate Editor of The Econometrics Journal and of Econometrics Reviews.

  • https://www.essex.ac.uk/ebs/staff/profile.aspx?ID=3257

Travel and Contact Information

Find event

Boardroom, 2nd floor
Arthur Lewis Building
Manchester

Contact event

Jacopo Mazza

jacopo.mazza@manchester.ac.uk

Share / follow event

Contact us

  • +44 (0) 161 306 6000

Find us

The University of Manchester
Oxford Rd
Manchester
M13 9PL
UK

Connect with the University

  • Facebook page for The University of Manchester
  • Twitter page for The University of Manchester
  • YouTube page for The University of Manchester
  • Google+ page for The University of Manchester
  • Pinterest page for The University of Manchester

  • Privacy /
  • Copyright notice /
  • Accessibility /
  • Freedom of information /
  • Charitable status /
  • Royal Charter Number: RC000797
  • Close menu
  • Home
    • Featured events
    • Today's events
    • The Whitworth events
    • Manchester Museum events
    • Jodrell Bank Discovery Centre events
    • Martin Harris Centre events
    • The John Rylands Library events
    • Exhibitions
    • Conferences
    • Lectures and seminars
    • Performances
    • Events for prospective students
    • Family events
    • All events