Apr 11, 2023; Course of talks
Colloquium: Niels Gillmann "Essays in Time Series Econometrics"
Speaker(s)
Niels Gillmann (ifo Dresden)
Start and end time
06:15 PM
-
07:45 PM
Location
Festsaal, Faculty of Business and Economics, Huelße Bau, 3rd floor
Niels Gillmann (ifo Dresden)
Essays in Time Series Econometrics
During the talk, I will present the papers I wrote for my PhD thesis. All papers are about the international spillover of uncertainty in national economic policy. The main focus will be on the paper “Adaptive local VAR for dynamic economic policy uncertainty spillover” where my coauthor and I develop a local vector autoregressive model to adaptively estimate time-varying multivariate dependency of economic policy uncertainty. The paper is supported by a simulation study and an empirical application.