Scientific Data Services

"The more, the merrier: the role of exogeneity in global state space models" is the title of Prof. Dr. Dietmar Bauer talk, which is being organised by the "Zentrum of Statistik" at Bielefeld University. It will take place on Tuesday, 4 November 2025 from 12:00 - 13:00 in W9-109. 

Often multivariate time series data has matrix time series structure such that at each point in time the same variables are observed for a number of individual entities. Joint unrestricted modelling using vector autoregressions (VAR) contains a prohibitively large number of parameters. This can be countered in a number of fashions (for example, MaTS, aDFM, Bayesian VARs). These approaches, however, do not include structural information on the relations between the various individuals. The global VAR approach of Pesaran and co-workers provides a different idea: It partitions the model into regional models, each of which is estimated and specified separately, allowing for the imposition of structural relations. Partitioning uses heavily different exogeneity concepts. In this talk we examine the implications of these exogeneity concepts. We also propose how to proceed, if exogeneity is violated.