339839
339839
omssb
2018-02-08T14:46:00.000Z
no

Seminar

Forskningsseminar: General-to-Specific Modelling and Indicator Saturation Methods with User-Specified Estimators and Models

Foredragsholder
Genaro Succarat, BI
Dato
29. mai 2018
Når
11:45 - 12:45
Hvor
Auditoriet, SSB, Akersveien 26

Innhold

 

Genaro Succarat: https://www.bi.no/om-bi/ansatte/institutt-for-samfunnsokonomi/genaro-sucarrat/

BI

"General-to-Specific Modelling and Indicator Saturation Methods with User-Specified Estimators and Models"

ABSTRACT:

General-to-Specific (GETS) modelling provides a comprehensive, systematic and cumulative approach to modelling ideally suited for forecasting and policy analysis, whereas Indicator Saturation (IS) is a powerful and flexible approach to the detection and estimation of structural break (e.g. location shifts). The implementation of these methods, however, puts a large programming-burden on the user, and may require substantial computing power. We develop a framework for user-specified estimators and models, and provide flexible and computationally efficient free software that enables parallel computing on large clusters. The GETS and IS implementations are via the $R$ package $gets$, but user-specified estimators and models can - in fact - be implemented in an external language (e.g. C/C++, Fortran, Python, STATA, EViews, MATLAB, etc.).

 NOTE: This is work in progress. Background reading: F. Pretis, J. Reade and G. Sucarrat, "Automated General-to-Specifi c (GETS) Modelling of the Mean and Variance of Regressions, and Indicator Saturation Methods for Outliers and Structural Breaks", J. Statistical Software (forthcoming)

 

 

 

 

 

 

 

 

 

 

 

 

Praktisk informasjon

Servering av baguetter og kaffe fra kl. 11:30.

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