明德经济学堂 | 明德经济学研讨会第56期
发文时间:2025-03-26

时间:2025年3月26日 10:00-12:00(周三)

会议地点:明德主楼729

主讲人:Dante Amengual 西班牙货币与金融研究中心 助理教授

主持人:王霞教授

主题:The information matrix test for Markov switching autoregressive models with covariate-dependent 

transition probabilities

讲座简介:

The EM principle implies the moments underlying the information matrix test for multivariate Markov switching autoregressive models with covariate-dependent transition probabilities are the smoothed values of the moments we would test were the latent Markov chain observed.Thus,we identify components related to the heteroskedasticity, skewness and kurtosis of the multivariate regression residuals for each of the regimes, the neglected multivariate heteroskedasticity of the generalised residuals for each of the columns of the transition matrix, and a final component that assesses the conditional independence of these generalised residuals and the regression residuals, their squares and cross-products given the observed variables.

个人简介:

Dante Amengual,associate professor with tenure, CEMFI, specializes in econometrics,asset pricing and financial econometrics.He has publications in many leading journal include Journal of Economterics,Journal of Applied Econometrics, Journal of Business and statistics and so on.He has been associate editor of Journal of Econometrics since 2022.