Seminars and Workshops

Paul Catani will give a seminar on:

Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models

Time: Thursday December 8, at 2.30-4.00 pm

Place: Hanken School of Economics, Arkadiagatan 22, Helsinki, room D601.

Summary:

Conditional heteroskedasticity is a common feature of many macroeconomic and financial time series. Standard tests for residual autocorrelation are derived under the assumption of IID errors and are unreliable in the presence of conditional heteroskedasticity. In this article we propose wild bootstrap tests for autocorrelation in the residuals from vector autoregressive (VAR) models when the errors are conditionally heteroskedastic. The bootstrap procedure is a residual-based recursive wild bootstrap. In particular, we investigate the properties of Lagrange multiplier (LM) and F-type tests. Monte Carlo simulations show that the wild bootstrap tests have satisfactory size properties in models with constant conditional correlation generalised autoregressive conditional heteroskedastic (CCC-GARCH) errors. In contrast, standard asymptotic and residual-based bootstrap tests are shown to be oversized. Some simulation evidence on the power of the tests is given. The tests are applied to Euribor interest rates and international stock returns. The results show that there are significant ARCH effects in the residuals from the estimated VAR models. We conclude that wild bootstrap tests for residual autocorrelation should be preferred over standard asymptotic and residual-based bootstrap tests.

For further information, please contact Paul Catani paul.catani@hanken.fi or gunnar.rosenqvist@hanken.fi .

Welcome!

December 1, 2011

Gunnar Rosenqvist

The Johan Fellman Symposium

To honour Professor Johan Fellman on his 80th birthday, a symposium is arranged

Friday, November 25, 2011

at Hanken School of Economics, Arkadiagatan 22, Helsingfors, Room 309.

PROGRAMME
10.00: Gunnar Rosenqvist: Opening
10.10: Kenneth Nordström (University of Oulu): Convexity of the Inverse and Moore-Penrose Inverse [pdf] 49k
11.00: Coffee
11.30: Katarina Juselius (University of Copenhagen): On the Role of Theory and Evidence in Macro Economics [pdf] 225k
12.20: Closing
12.30: Lunch

More information available on the home page of the Department of Finance and Statistics http://www.hanken.fi/public/en/finance_statistics.

REGISTRATION

There is no registration fee for the symposium. Participation in coffee and lunch is also free but a registration is necessary. Welcome to register by email to kajsa.fagerholm@hanken.fi at latest November 18. Please indicate food preferences, e.g. vegetarian.

For further information, please contact gunnar.rosenqvist@hanken.fi (tel. 040-3521363).