Past Event

Nuffield Econometric/INET Seminar - Eric Hillebrand

On Friday 26th May, Eric Hillebrand (Aarhus University) will present the following paper at 2.15pm in Seminar room C.
 
Title: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models’
 
Co-authors: Jakob Guldbæk Mikkelsen (Danish National Bank) and Giovanni Urga (Cass Business School and University of Bergamo)
 
Abstract:
In this paper, we develop a maximum likelihood estimator of time-varying loadings in high- dimensional factor models. We specify the loadings to evolve as stationary vector autoregressions (VAR) and show that consistent estimates of the loadings parameters can be obtained by a two-step maximum likelihood estimation procedure. In the first step, principal components are extracted from the data to form factor estimates. In the second step, the parameters of the loadings VARs are estimated as a set of linear regression models with time-varying coefficients. We document the finite-sample properties of the maximum likelihood estimator through an extensive simulation study and illustrate the empirical relevance of the time-varying loadings structure using a large quarterly dataset for the US economy.
 
Meetings and dinner:
If you would like to meet the speaker please sign-up using the following link: http://doodle.com/poll/2xedek2vzs4rd5cu
Please enter your full name and sign-up by Tuesday 4pm.
 
DPhil students and Post-docs are strongly advised to meet with the speaker.
Academic members of the department are encouraged to meet with the speaker and join dinner at high table.
 

Details:

26 May 2017 14:15 - 15:15

Further Information


Location

Department of Economics

Department of Economics, Manor Road Building, Manor Road, Oxford, OX1 3UQ