Seminario di Finanza Quantitativa

 

Martedì 18 febbraio 2020

ore 11:00

 

Scuola Normale Superiore

Pisa

Aula Fermi

 

 

Marco Lippi

 (Einaudi Institute, Roma)

 

Terrà un seminario dal titolo:

 

“Identification in Macroeconomic Models: SVAR Techniques, Fundamentalness Problem, Dynamic Factor Models”

 

Abstract:

 

Identification of structural shocks in a VAR model is obtained by a linear transformation of the estimated residuals. This is known as  structural VAR, SVAR.  Clearly, this practice relies on fundamentalness of the structural shocks, which on the other hand is not usually a consequence  of the theory. I will review some of the solutions proposed, with particular attention to Dynamic Factor Models, DFM, and singular stochastic vectors.  I will also discuss the issue of measurement errors in macroeconomic variables and their treatment within DFMs.

 

Tutti gli interessati sono invitati a partecipare.

 

Classe di Scienze