Inference in high-dimensional time series models [thesis]

Luca Margaritella
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more » ... r the purpose of private study or research. • You may not further distribute the material or use it for any profit-making activity or commercial gain Looking back to 4 years ago today, one thing seems clear to me: that I have been outrageously lucky. I will try to explain why in the following lines but let me start by saying that I am extremely grateful. As time series are the "leitmotif" of what comes in the next chapters of this dissertation, let me pick an annual frequency t. While I am writing this we are in t = 2021, therefore let me start with t − 5 = 2016. By that time I was fresh out of my bachelor in Statistics. By far what I enjoyed the most during those years in Milan were the courses of Econometrics and Time Series Analysis. I recall I approached Prof. Claudio Morana as I thought I had some mildly cool results out of my BSc thesis. In restrospect, I would say it was quite garbage but Claudio was nice enough to look at it and give me feedbacks even if I was not his student. Furthermore, Claudio involved me in the organizational machine for the annual conference of the International Association for Applied Econometrics (IAAE), which that year was held in Milan. It was at the conference dinner that Claudio insisted for me to meet someone he knew from Maastricht Universty that was sitting at another table. Little that I knew, that meeting shaped the following five years of my life. Here I must immediately add that I am of course incredibly grateful for all the help and support Claudio spontaneously gave me. The person he introduced me would have become my supervisor for the MSc and co-supervisor for my PhD. Alain (more about him later) was in fact sitting at that table. Sipping some red wine (cannot blame him), Alain listened to my confused ramblings about how interested I was in econometrics and time series models. Convinced by Claudio and the talk with Alain which continued via emails, I decided in t = 2016, 2017 to enrol in a master in Econometrics and Operation Research at Maastricht University. My year as a master student was not easy (let alone digesting game theory): it took me some time to adjust to the style vii 6 Conclusion Bibliography Valorisation Curriculum Vitae 2006)
doi:10.26481/dis.20211108lm fatcat:cqscxc2ijfepzpjpbic3jcvbw4