SNIC SUPR
Macro and Financial Econometric Study
Dnr:

SNIC 2015/6-117

Type:

SNIC Small Compute

Principal Investigator:

Yukai Yang

Affiliation:

Uppsala universitet

Start Date:

2015-09-02

End Date:

2021-07-01

Primary Classification:

50201: Economics

Allocation

Abstract

This project aims to contribute and foster the computational study in the area of macro and financial econometrics. I (We) will conduct intensive computational experiments, mainly investigating the (asymptotic) properties of some statistical tests or comparing the performance of estimation methods. The quantitative analysis that I am (we are) dealing with, are from macroeconomics and finance, both of which are multivariate, even high-dimensional, time series.