Ovidijus Stauskas

Research areas and keywords

UKÄ subject classification

Economics

Keywords

Econometrics, Time Series Econometrics, Panel Data, Asymptotics, Factor Models, Unit Roots

Research

My research area is econometric theory and my field is panel data with both large number of individuals and long time series. The central part of my work is deriving distributions of tests based on different estimators that work on panel data. For example, 1) I have been working on tests for forecasting accuracy when the predictive regression is augmented with latent factors, and 2) panel vector autoregressions when the time series components have different degree of persistence. My latest work is related to bootstrap techniques for factor augmented regressions.

Teaching

I teach at Masters and PhD level. I am a lecturer for NEKN32: Mathematical Methods (Fall term) and I give 50% of lectures in NEKP35: Econometric Theory related to probability theory (Spring term, odd years).