speaker:Guangming Pan

time:  2025.8.6,16:00-17:00 pm

 place: Yifu Building 1537

 Abstract：

We consider four structures of high dimensional time series in terms of factor structure and nonstationary.

We propose a novel approach to identifying them. The proposed three-step method includes:

(1) the ratio statistic of empirical eigenvalues;

(2) a projected Augmented Dickey-Fuller Test;

(3) a new unit-root test based on the largest empirical eigenvalues.