Mirza Trokic - Department of Economics and Business

TROKIĆ, MIRZA3463 Ste-Famille, # 1415 90 Olivia Marie Rd.Montreal, QuebecBrampton, OntarioH2X 2K7L6Y 0N1Telephone: (514) 627-4451 Telephone: (905) 454-8836Email: mirza.trokic@mail.mcgill.caWebsite: www.mirzatrokic.caDate of Birth: February 23, 1983Personal: SingleLanguages: English, French, BosnianStudying German and ArabicRESEARCHINTERESTSMy research is devoted to theoretical econometric methods dealing with inference. I focus on improving the reliability ofparameter estimation and hypothesis testing techniques in time series analysis through iterative bootstrap techniques and waveletanalysis. As a researcher, my highest priority is to author articles suited for top academic journals. I conduct research whichis both theoretically scrupulous and practical and focus on questions which require theoretical advancements in order to beempirically relevant.EDUCATION 2007 - 2012 exp. MCGILL UNIVERSITY PH.D. CANDIDATE IN ECONOMICS (ECONOMETRICS) Montreal,QCDISSERTATION: Improving Reliability of Unit Root Tests Through Iterative Bootstrap and Wavelet TechniquesREFEREES: Prof. Russell Davidson, (514) 398-4400 ext. 09008, russell.davidson@mcgill.ca,Prof. Jean-Marie Dufour, (514) 398-4400 ext. 09156, jean-marie.dufour@mcgill.ca,Prof. Victoria Zinde-Walsh, (514) 398-4400 ext. 00782, victoria.zinde-walsh@mcgill.ca,2006 - 2007 MCGILL UNIVERSITY MASTER OF ARTS IN ECONOMICS (ECONOMETRICS) Montreal,QCSpecialization in Econometrics and Mathematical Economics.2002 - 2006 MCGILL UNIVERSITY BACHELOR OF ARTS IN ECONOMICS AND MATHEMATICS Montreal,QCHonours Distinction in Economics and Mathematics.RESEARCHANDTEACHINGFIELDSTheoretical econometrics.Applied econometrics.Time series analysis.Bootstrap analysis.Economic statistics.Macroeconomics.DISTINCTIONS Recipient of research stipend from McGill University (2007 - 2012).Recipient of teaching stipend from McGill University (2006).Grace Irving Scholarship McGill Major Scholarship (2002).WORKEXPERIENCESep. 2006 - Pres. MCGILL UNIVERSITY ECONOMICS DEPARTMENT Montreal,QCRESEARCH ASSISTANT - ECONOMETRICSAssist my supervisors in various aspects of econometric research.Sep. 2006 - Pres. MCGILL UNIVERSITY ECONOMICS DEPARTMENT Montreal,QCTEACHING ASSISTANT - ECONOMETRICSHold weekly lectures in Econometric Theory, grade assignments and exams.Hold weekly seminar in statistical simulation and applied statistical analysis.Jan. 2009 - Pres. MCGILL UNIVERSITY ECONOMICS DEPARTMENT Montreal,QCTEACHING ASSISTANT - MACROECONOMICSHold weekly lecture seminar in Macroeconomic Theory, grade assignments and exams.June - Sep. 2009 MCGILL UNIVERSITY, GREQAM - PROF. DAVIDSON Marseilles,FRRESEARCH ASSISTANT - ECONOMETRICSExtended theory of fast double bootstrap to generalized fast iterative bootstrap p-values.The title of working paper: The Iterated Bootstrap and Fast Variants.

Mirza Trokić - Curriculum Vitae Page 2Apr. - Sep. 2006 MCGILL UNIVERSITY - PROF. MACKINNON Montreal,QCRESEARCH ASSISTANT - ECONOMIC HISTORYAnalyzed data to contrast, compare, and explain the contemporaneous large variations in prices across Canada.The title of the paper: The First World War and the Emergence of National Markets in Canada, MacKinnon and Minns.Nov. - Dec. 2004 MCGILL UNIVERSITY - PROF. SUTTHIPHISAL Montreal,QCRESEARCH ASSISTANT ECONOMICS OF INTERNATIONAL TRADEProcessed and analyzed data on the impact of patents and patent rights on international trade.June 2004 - Pres. BOSNIAN CANADIAN RELIEF ASSOCIATION Toronto, ONSTATISTICAL ANALYST AND MEDIA PUBLIC RELATIONS OFFICERAssess financial and social status of orphans receiving and/or applying for patronage from the Bosnian CanadianRelief Association (BCRA).Establish rapport with existing relief associations in the region and abroad.Execute campaigns urging individuals of prominence to contribute to the work and projects of the BCRA.May - Aug. 2003 - 2007 CITY OF BRAMPTON Brampton, ONLEGAL SERVICES DEPARTMENT CITY CLERKS OFFICE RECORDS ANALYST PROJECT MANAGERManaged a project statistically analyzing existing and incoming city records.Proposed logistical solutions on the maintenance of statistically projected influx of new records.Proposed solutions on improving the efficiency of managing existing records.Acted as the official City of Brampton Records Clerk.Oversaw the appraisal, delivery, retrieval, and computer maintenance of official City records.Implemented a records archiving system assisting in the transition of old records into electronic databases.RESEARCHPAPERSM. Trokić, “Wavelet Power: Wavelet Energy Ratio Unit Root Tests”, submitted to Econometric Theory, (August 2012).This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root testsindexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and itsfractional partial sum to construct a test of the unit root based on the ratio of the resulting scaling energies. The construction takesits inspiration from the variance ratio (VR) unit root test of Nielsen (2009) and Fan and Gençay (2010) (FG). The result is a statisticwhose power properties virtually mimic that of the VR statistics but which drastically reduces the severe size distortions sufferedby both the VR and FG test in the presence of serially correlated MA(1) errors when the MA parameter is close to negative unity.Moreover, the test is visibly more robust to size distortions arising from lowering d than its VR counterpart and unlike the FG test,requires no estimation for construction.Link: “Wavelet Power: Wavelet Energy Unit Root Tests”M. Trokić, “Regulated Variance Ratio Unit Root Tests”, submitted to Econometric Theory, (April 2012).This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptoticdistribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere (2011) are extendedby also developing the asymptotic distribution of regulated series with a linear trend. Asymptotic local power is analyzed for variouschoices of the fractional integration parameter d. It is shown that power performance depends crucially on the length, direction,and nature of the regulating interval. When the interval is sufficiently wide the results in Nielsen (2009) are replicated. In all othercases the statistic has unacceptably low power.Link: “Regulated Variance Ratio Unit Root Tests”M. Trokić, “Regulated Fractionally Integrated Time Series”, submitted to Journal of Time Series Analysis, (February 2012).Regulated integrated time series are of significant practical importance and are characterized by asymptotic distributions whichdiffer substantially from their unregulated counterparts. Nevertheless, most inferential exercises continue to be performed withcomplete disregard for this potential feature of time series data. To date only Cavaliere (2005) and Cavaliere (2011) have attemptedto develop a theory for regulated integrated time series in the context of unit root testing. No such theory has been developedfor regulated fractionally integrated series which are particularly important in financial time series but also in the unit root testingliterature. This article establishes a framework for regulated fractionally integrated processes and develops their functional centrallimit distributions. Several algorithms for obtaining the limiting distributions for these processes are proposed and simulationevidence is presented.Link: “Regulated Fractionally Integrated Time Series”

Mirza Trokić - Curriculum Vitae Page 3R. Davidson and M. Trokić, “The Iterated Bootstrap”, submitted to Computational Statistics and Data Analysis, (August 2011).The standard forms of bootstrap iteration are very computationally demanding. As a result, there have been several attempts toalleviate the computational burden by use of approximations. In this paper, we extend the fast double bootstrap of Davidsonand MacKinnon (2007) to higher orders of iteration, and provide algorithms for their implementation. The new methods makecomputational demands that increase only linearly with the level of iteration, unlike standard procedures, whose demands increaseexponentially. In a series of simulation experiments, we show that the fast triple bootstrap improves on both the standard and fastdouble bootstraps, in the sense that it suffers from less size distortion under the null with no accompanying loss of power.Link: “The Iterated Bootstrap”SEMINARSPROFESSIONALACTIVITIESM. Trokić, “Wavelet Power: Wavelet Energy Ratio Unit Root Tests”Indiana University Econometric Seminar Series, November 2012McGill Lunchtime Seminar Series, September 2012M. Trokić, “Regulated Variance Ratio Unit Root Tests”Econometrics Society North American Meeting, January 2013Canadian Econometrics Study Group, October 2012CIREQ Ph.D. Students Conference, June 2012McGill Lunchtime Seminar Series, May 2012M. Trokić, “The Iterated Bootstrap” (with Russell Davidson)CIREQ Ph.D. Students Econometrics Seminar, October 2011M. Trokić, ”Fast Iterated Bootstrap P-Values”McGill Colloquium on Computationally Intensive Econometric Research Methods, May 2009.Discussant, Canadian Econometrics Study Group, October 2012R. Gençay and D. Signori, “Multi-Scale Tests for Serial Correlation”PROFESSIONALSOCIETIESEconometric Society, member since 2012American Statistical Association, member since 2011CIREQ Research Ph.D. Student, McGill University, member since 2007HOBBIESEnjoy reading, writing, playing piano, skiing, and playing tennis.Member of the Congress of North American Bosniaks.Linux enthusiast and technophile.Updated November 7, 2012.