Seminars 2007— Abstracts
Friday April 27
Speaker: Rodney Wolff,
Queensland University of Technology
Title: Some gentle applications of asymptotics in econometrics
Abstract: Risk measurement can often depend on understanding joint distributions between two or more variables, or risk factors. One approach to this is to make use of copulae. Copulae describe how the variables "couple together", by representing a factor along with the marginals in an expression of the joint distribution (or density). The standard approach to copula estimation is to assume a functional form and to estimate associated parameters. We employ asymptotic expansions of distributions to show how one might use moments and cross-moments to estimate a copula in a non-parametric fashion. If time permits, we shall move on to a second application of asymptotics, namely to show how deterministic models in economics can be afforded a stochastic interpretation, and thus how inference can be conducted for such models.
