[datascience] econOMEtRics in Rome - Next seminar on Friday January 24 at 6 pm at Sapienza

["Gianluca Cubadda" < >]

Dear all,

we are pleased to reschedule the talk by Ye Lu to next Friday, January 24 at 6 pm at Sapienza, Department of Statistical Sciences, Aula XIII Palazzina Tumminelli.

Speaker: Ye Lu, University of Sydney

 

Title: Understanding Regressions with Observations Collected at High Frequency over Long Span

Abstract: In this paper, we analyze regressions with observations collected at small time intervals over a long period of time. For the formal asymptotic analysis, we assume that samples are obtained from continuous time stochastic processes, and let the sampling interval δ shrink down to zero and the sample span T increase up to infinity. In this setup, we show that the standard Wald statistic diverges to infinity and the regression becomes spurious as long as δ → 0 sufficiently fast relative to T → ∞. Such a phenomenon is indeed what is frequently observed in practice for the type of regressions considered in the paper. In contrast, our asymptotic theory predicts that the spuriousness disappears if we use the robust version of the Wald test with an appropriate long-run variance estimate. This is supported, strongly and unambiguously, by our empirical illustration using the regression of long-term on short-term interest rates.

Please note that Palazzina Tumminelli is the first building on the left entering from V.le dell'Università:

 

https://www.uniroma1.it/sites/default/files/ACU007.pdf

 

We look forward to seeing you there.

The Organizing Committee

Gianluca Cubadda
Massimo Franchi
Tommaso Proietti
Paolo Santucci de Magistris

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econOMEtRics in Rome