11.04.2023; Vortragsreihe
Kolloquium: Niels Gillmann (ifo Dresden) "Essays in Time Series Econometrics"
Zeit
18:15
-
19:45
Uhr
Ort
Festsaal, Hülße-Bau, 3. Etage Nordflügel
Abstract:
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.