📢 The iCEBDA Econometric seminar

Join us on February 16, 2026 at 17:00 (Moscow time, online via Zoom) for a research seminar by

🎓 Weifeng Jin — Instituto Tecnológico Autónomo de México (ITAM)

Talk: "Estimation of Time Series Models Using the Empirical Distribution of Residuals"

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.

🔗 Register here: https://economics.hse.ru/bigdata/seminars