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Abstract Details
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Activity Number:
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380
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Type:
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Invited
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Date/Time:
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Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Asociacion Mexicana de Estadistica
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| Abstract - #303536 |
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Title:
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Consistent and Efficient Inference for (Possibly Noninvertible) Linear Models
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Author(s):
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Ignacio N. Lobato*+
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Companies:
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Instituto Tecnológico Autónomo de México
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Address:
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Av Camino Sta Teresa 930, Mexico DF, International, 10700, Mexico
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Keywords:
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nonfundamentalness ;
higher-order moments ;
higher-order spectra ;
periodogram
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Abstract:
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We study statistical inference with possibly non invertible linear models. Recent economic research emphasizes the presence of non invertibility in economic time series models. However, the current standard time series analysis is based on the invertibility assumption. We consider statistical procedures in the frequency domain that allow for non invertibility. In particular, we rely on higher order spectrum to provide identification of the parameters of interest. The procedures developed in this article overcome the need of using tests for invertibility. In addition, the proposed procedures are asymptotically more efficient than Gaussian-based procedures.
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