Macro and Financial Econometric Study

Dnr:

SNIC 2015/6-117

Type:

SNAC Small

Principal Investigator:

Yukai Yang

Affiliation:

Uppsala universitet

Start Date:

2015-09-02

End Date:

2018-10-01

Primary Classification:

50201: Nationalekonomi

Webpage:

http://www.statistik.uu.se/

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.