HSE Centre for Big Data in Economics and Finance research seminar: “Estimation of Time Series Models Using the Empirical Distribution of Residuals”, Weifeng Jin — Instituto Tecnológico Autónomo de México (ITAM)
HSE Centre for Big Data in Economics and Finance invites you to the research seminar on “Estimation of Time Series Models Using the Empirical Distribution of Residuals” by Weifeng Jin — Instituto Tecnológico Autónomo de México (ITAM), February 16, 2026, at 17:00 (Moscow time)
HSE Centre for Big Data in Economics and Finance invites you to the regular research seminar on February 16, 2026, at 17:00 (Moscow time) via Zoom.
Speaker: Weifeng Jin — Instituto Tecnológico Autónomo de México (ITAM)
Topic: “Estimation of Time Series Models Using the Empirical Distribution of Residuals”
Contact info: weifeng.jin@itam.mx
This seminar introduces a novel estimation framework for general linear time series models, including those that are noninvertible or noncausal — representations increasingly used in macroeconomics and finance to capture nonlinear dynamics driven by future expectations. The proposed method exploits the empirical cumulative distribution function of residuals and relies on the generalized spectral cumulative function to characterize pairwise dependence across lags. The talk will cover asymptotic theory using smoothed CDF approximations, efficiency gains through scaling parameter selection, and finite-sample performance via Monte Carlo simulations. An empirical illustration is provided by modeling the daily trading volume of Microsoft stock using noncausal autoregressive models.
The HSE Centre for Big Data in Economics and Finance, established in 2025 at the Faculty of Economic Sciences, conducts fundamental and applied research in big data analysis, develops modern econometric and machine learning methods, and implements educational programs training next-generation specialists. Learn more about the Centre's activities on its official webpage.
To participate, please register on the Centre's seminar page where the Zoom link will be provided upon confirmation.
