Tid: 4 november 2002 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Timo Teräsvirta, Ekonomisk statistik, Handelshögskolan i Stockholm. Publikationslista.
Titel: Common features in conditional distributions
Sammanfattning: The study of common features in (economic) time series has been mostly restricted to common features in the conditional mean or variance. In this seminar we extend the definition of a common feature to cover the case of a whole distribution. We first discuss and exemplify so-called dominant properties or features in time series and with their help define the common feature in distributions. The definition is based on the concept of conditional copula. Potential usefulness of the definition is illustrated by an application to the consumption-income relationship over the business cycle in the US using monthly time series.