On February 15, 2024, a meeting of the Academic Council was held at the Gaidar Institute. The main agenda of the event was Ph.D. completion seminar of the research "Robust Inference in Non-Stationary Time Series" by Anton Skrobotov, Senior Researcher at the Short-Term Forecasting Department of the Center for Institutional Development, Ownership and Corporate Governance.

01.jpg The author of the study also proposes a new test for lack of predictability that is robust to the nonstationarity of the regressor, its endogeneity, time-varying (conditional and unconditional) volatility and heavy tails. This test is based on instrumental estimation, where the sign of the regressor is taken as the instrument. Also, to account for non-stationary volatility, we prove the validity of non-parametric estimation of variance, on the basis of which the final t-statistic is constructed.


In addition, new methods for testing and dating financial bubbles in time series were put forward, and unit root and cointegration tests under structural shifts and time-varying volatility were systematized. Based on the developed and available approaches, the author of the study obtained new empirical results for the Russian economy.

Presentation to the report

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Several important decisions were also approved at the Academic Council meeting:

  • the powers of the Executive Director S.V. Prikhodko and the powers of the Chairman of the Academic Council A.D. Radygin were extended for 2 years;

  • the new composition of the Academic Council was approved, the new members of which are: Alexey Vedev, Ph.D., Head of the Financial Studies Department at the Gaidar Institute; Sergey Vasiliev, Ph.D., Leading Researcher at the Center for "Institutional Development, Ownership and Corporate Governance" at the Gaidar Institute; Maria Sigova, Ph.D., Professor, Rector of the Moscow Higher School of Social and Economic Sciences (Shaninka);

  • the Annual Report of the Gaidar Institute's activities for 2023 and the revised IEP Statute were approved.