An overview of cointegration tests in the time and frequency domains
Igor Viveiros Melo Souza (Federal,University of Belo Horizonte, Brazil)
December 16, 2019 — 16:45 — Location: F3.05, Breguet building, CentraleSupélec
Cointegrated and non-cointegrated processes from economic and econometric point of view, based on the time and frequency domain will be presented. Standard tests for cointegrated times series will be discussed as well as their advantages and drawbacks in financial area. In addition to the standard methods, recent methodologies based on the frequency domain will be introduced. The methods will be discussed for multivariate time series with short and long memory properties. Some robust tests will also be presented. The concepts and definitions will be motivated by some real financial time series.
I am Graduated in Economic Sciences at the Federal University of Minas Gerais (2002), Brazil, Master’s degree in Economics at the University of São Paulo (2006), Brazil, and PhD in Statistics at Federal University of Minas Gerais (2014). I am a full Professor at the Department of Economics of the Federal University of Minas Gerais, where I teach for undergraduate and PhD programs. I work in time series analysis with a special interest in long-memory, robustness, unit root, regression time series, bootstrap and analysis of cointegrated systems. My main areas of applications are financial econometrics, macroeconomics. Also I have been worked in some applied microeconomics issues such as crime dynamics for the Belo Horizonte city.