Time series regression with semiparametric factor dynamics
Seminar Room 1, Newton Institute
High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such high-dimensional problems occur frequently in many different fields of science. In this paper we address the problem of inference when the factors and factor loadings are estimated by semiparametric methods. This more flexible modelling approach poses an important question: Is it justified, from inferential point of view, to base statistical inference on the estimated times series factors? We show that the difference of the inference based on the estimated time series and `true' unobserved time series is asymptotically negligible. Our results justify fitting vector autoregressive processes to the estimated factors, which allows one to study the dynamics of the whole high-dimensional system with a low-dimensional representation. The talk reports on joint projects with Szymon Borak, Wolfgang H\"ardle, Jens Perch Nielsen and Byeong U. Park
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