Mathematical Statistics Seminar

1.) An $L^2$ Test Theory for Nonstationary Time Series. 2.) A Sharp Strong Invariance Principle For Stationary Processes

Speaker(s): 
Wei Biao Wu (University of Chicago)
Date: 
Wednesday, May 14, 2014 - 10:00am
Location: 
WIAS, Room 406, Mohrenstraße 39, 10117 Berlin

1.) I will discuss testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and with that a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied to assess the trend pattern in the central England temperature series. The work is joint with Ting Zhang.

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Speaker(s): 
Matteo Barigozzi (LSE)
Date: 
Wednesday, May 7, 2014 - 10:00am
Location: 
WIAS, Hausvogteiplatz 11a, Raum 4.13

This paper we study Dynamic Factor Models when the factors Ft are I(1) and singular, i.e. rank(Ft) < dim(Ft). By combining the classic Granger Representation Theorem with recent results by Anderson and Deistler on singular stochastic vectors, we prove that, for generic values of the parameters, Ft has an Error Correction representation with two unusual features: (i) the autoregressive matrix polynomial is nite, (ii) the number of error-terms is equal to the number of transitory shocks plus the dierence between the dimension and the rank of Ft.

Nonparametric Identi cation and Estimation in a Triangular Random Coecient Regression Model

Speaker(s): 
Hajo Holzmann (Philipps Universität Marburg)
Date: 
Wednesday, April 30, 2014 - 10:00am
Location: 
Mohrenstraße 39, Room 406

Linear regression models with random coecients have recently become quite popular in econometrics as a tool for modeling unobserved heterogeneity. The main structural assumption which makes these models identiable is the independence of the regressors from the random coecients, that is, the exogeneity of the regressors. We briefly review identication in this situation. Further, we propose nonparametric estimators for the density of the random coecients in case of light-tailed and even compactly supported regressors, and derive rates of convergence.

How to Deal with Dimensionality in Functional Data Analysis?

Speaker(s): 
Phillipe Vieu (Toulouse)
Date: 
Wednesday, April 23, 2014 - 10:00am
Location: 
Mohrenstraße 39, Erhard-Schmidt-Hörsaal

Functional data are, by nature, infinite dimensional data, and their analysis need necessarily specific attention to the possible effects of high (in fact, infinite) dimension on the behaviour of statistical procedures. Semi-parametric modelling and variable/model selection are two fields of modern Statistics having developped methodologies for dealing with dimensionality in high (but finite) multivariate data analysis.

Incidental Parameter Bias in Panel Quantile Regressions

Speaker(s): 
Martin Weidner (UCL)
Date: 
Wednesday, April 16, 2014 - 10:00am
Location: 
Mohrenstraße 39, Erhard-Schmidt-Hörsaal

This talk studies linear quantile regression (QR) estimators in panel data settings with fixed effects. The estimation error in the fixed effects causes an incidental parameter problem in the parameters of interest, and we work out the first order asymptotic bias under an asymptotic where both N and T grow to infinity. This leading incidental parameter bias is of order 1/T, analogous to the situation in non-linear fixed effect panel models with smooth objective function.

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Speaker(s): 
Bo Markussen (University of Copenhagen)
Date: 
Wednesday, February 12, 2014 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

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Speaker(s): 
Axel Bücher (Ruhr-Universität Bochum)
Date: 
Wednesday, January 29, 2014 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

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Speaker(s): 
Thomas Kneib (Universität Göttingen)
Date: 
Wednesday, January 22, 2014 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Variational approximations in statistics II

Speaker(s): 
Matt Wand (University of Technology Sydney)
Date: 
Wednesday, December 18, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Variational approximations in statistics I

Speaker(s): 
Matt Wand (University of Technology Sydney)
Date: 
Wednesday, December 11, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

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