The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Estimation and inference in an integrated model with a trend
Karim Abadir, University of York
Wednesday, 27th April 2005, 2pm
The Whittaker Room (211)
Abstract:
This paper deals with estimation and hypothesis testing in fractionally
integrated stationary and non-stationary models with a linear trend. Using
semiparametric estimators, asymptotic confidence intervals for regressions
parameters and integration order are obtained and joint hypothesis testing
developed. Confidence intervals are applicable for a wide class of
fractionally integrated models, exhibit high coverage accuracy and are easy
to implement. The coverage accuracy of confidence intervals is examined and
applications are discussed. Short title: Integrated model with trend Key
words and phrases. Fractional integration, joint hypotheses, semiparametric
estimation. Corresponding Author: Prof. Karim Abadir, Department of
Mathematics, University of York, United Kingdom; [log in to unmask] AMS 2000
subject classification. Primary 62M10; secondary 62M15. ¤Research supported
by the ESRC grant R000239538.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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