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SUMMARY:Econometric Analysis of Macroeconomic Functional Data - Won-Ki Seo
  (University of Sydney)
DTSTART;VALUE=DATE-TIME:20250606T111500
DTEND;VALUE=DATE-TIME:20250606T123000
UID:https://new.talks.ox.ac.uk/talks/id/8b8f9293-f459-405a-8392-5f898105e2
 77/
DESCRIPTION:This paper proposes econometric methods for studying how econo
 mic variables respond to function-valued shocks. Our methods are developed
  based on linear projection estimation of predictive regression models wit
 h a function-valued predictor and  other control variables. We show that t
 he linear projection coefficient associated with the functional variable a
 llows for the impulse response interpretation in a functional structural v
 ector autoregressive model under a certain identification scheme\, similar
  to well-known Sims' (1972) causal chain\, but with nontrivial complicatio
 ns in our functional setup. A novel estimator based on an operator Schur c
 omplement is proposed and its asymptotic properties are studied. We illust
 rate its empirical applicability with two examples involving functional va
 riables:  economy sentiment distributions and functional monetary policy s
 hocks.\nSpeakers:\nWon-Ki Seo (University of Sydney)
LOCATION:Manor Road Building (Online. Streaming in Seminar Room A)\, Manor
  Road OX1 3UQ
TZID:Europe/London
URL:https://new.talks.ox.ac.uk/talks/id/8b8f9293-f459-405a-8392-5f898105e2
 77/
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DESCRIPTION:Talk:Econometric Analysis of Macroeconomic Functional Data - W
 on-Ki Seo (University of Sydney)
TRIGGER:-PT1H
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