My current research focuses on the following topics:

• Large sets of macroeconomic data and dynamic factor models as well as generalized dynamic factor models. Estimation and applications

• The Macroeconomics of Macroeconomic Uncertainty - Macroeconomic Uncertainty and Its Effects on the Real Economy

• Structural changes in the deterministic trend in the context of VAR models

• Short-run and long-run causality in stationary and non-stationary VAR models

Computational Econometrics. I really like and use gretl - I also use R

I have written either alone or with Riccardo Jack Lucchetti some function packages - that is, bundled functions written in gretl's hansl language - to facilitate specific econometric methodologies. Specifically:

1. A gretl package (named GlobalFactors.gfn) to estimate the number of global and local factors in multilevel factor models and then to consistently estimate the global and local factors based on the methods by Choi, I., Kim, D., Kim, Y.J., Kwark, N.-S., 2018. A multilevel factor model: Identification, asymptotic theory and applications. Journal of Applied Econometrics https://doi.org/10.1002/jae.2611 and  Choi, I., Lin, R., Shin, Y., 2021. Canonical correlation-based model selection for the multilevel factors. Journal of Econometrics, https://doi.org/10.1016/j.jeconom.2021.09.008. The package along with guidance and replication files for the 2022d working paper can be found in Working papers (recent) section below.

2. A package in gretl with Riccardo Jack Lucchetti for estimating Dynamic Factor Models. The package help file is also available as a working paper (working papers recent 2019a or 2022a)

3. A package in gretl with Riccardo Jack Lucchetti for estimating Generalized Dynamic Factor Models. The package help file is available as a working paper. Request it (along with the package and supporting examples) by email.

4. A gretl package to perform two different tasks with VAR models: (a) Testing multi-horizon causality - see Dufour & Pelletier & Renault (2006). Short run and long run causality in time series: inference. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2005.02.003 and (b) estimating causality measures, see  Dufour & Taamouti (2010). Short and long run causality measures: Theory and inference  Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2009.06.008. The package with the neccessary help files will be available (at some point ...). For presentation notes regarding its two main functionalities, see https://gretlconference.org/index.php/category/gc2015/gc2015-presentations/ (10th presentation).

Working papers (recent)

• Venetis, I.A., & Ladas, A., (2022d). Co-movement and global factors in sovereign bond yields. Working paper. Replication material including GlobalFactors package

• Lucchetti R. & Venetis I.A (2022b). Generalized Dynamic Factor Models. Estimation and forecasting using gretl. Working paper (available upon request)

• Lucchetti R. & Venetis I.A (2022a). Dynamic Factor Models in gretl. The DFM package. Working paper

• Lucchetti R. & Venetis I.A (2019a). Dynamic Factor Models in gretl. The DFM package. gretl working papers, No 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali (an updated version appears above (2022). It can be downloaded as the help file of the gretl's DFM package version 0.45 - you have to install the package first)

Working papers (older)

• Venetis, I.A., Paya, I., & Peel, D. (2009). ESTAR model with multiple fixed points. Testing and Estimation. Lancaster University Management School Working Paper 2009/010

• Naraidoo, R., & Minford, P., & Venetis, I.A., (2006). The political economy of unemployment and threshold effects. A nonlinear time series approach. Keele Economics Research Papers KERP 2006/21, Centre for Economic Research, Keele University. https://ideas.repec.org/p/kee/kerpuk/2006-21.html (available upon request)

• Venetis, I.A., Duarte, A., & Paya, I. (2006). The long memory story of real interest rates. Can it be supported? Lancaster University Management School Working Paper 2006/038

• Venetis, Ioannis (2005). Tail-fatness in equity returns: the case of Athens stock exchange. KEPE, working paper No.77, http://repository-kepe.ekt.gr/kepe/bitstream/20.500.12036/1282/1/KEPE_Papers_77.pdf

• Sibbertsen, Philipp & Venetis, Ioannis (2003). Distinguishing between long-range dependence and deterministic trends. Technical Report Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, No. 2003,16

Conference proceedings

• Lucchetti R. & Venetis I.A (2019b). Generalized Dynamic Factor Models. Estimation and forecasting using gretl. GRETL 2019, Proceedings of the International Conference on the Gnu Regression, Econometrics and Time-series Library (pdf pages 86-94)

Recent conference presentations 

• "Testing and measuring multi-horizon causality in VAR models: Two new user-written functions for the Gretl time series menu". 4th biennial gretl Conference June 12-13, 2015, Berlin, Germany, Hans Boeckler Foundation and Free University of Berlin 

• "Transmission channels of economic uncertainty effects on macroeconomic activity". 2nd Annual Conference of the International Association for Applied Econometrics (IAAE), June 25-27, 2015, hosted by the University of Macedonia, Thessaloniki, Greece

• "QML estimation (EM) of dynamic factor models in gretl". 5th biennial Gretl Conference June 2-3, 2017, Athens, Greece

• "Generalized Dynamic Factor Models. Estimation and forecasting using gretl". 6th biennial gretl Conference June 13-14, 2019, Naples, Italy

• "Principal components based estimation of multilevel factor models". 8th biennial gretl Conference June 15-16, 2023, Gdansk, Poland

Invited Lectures

• 2014 Interpreting Granger causality: the role of infrequent structural shifts and omitted variables. An empirical application. (9 Μαΐου 2014). Παρουσίαση στο Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών “Μαθηματικά των Υπολογιστών και των Αποφάσεων” ("Mathematics of Computers and Decision Making") που συνδιοργανώνεται από το Τμήμα Μηχανικών Η/Υ και Πληροφορικής της Πολυτεχνικής Σχολής και το Τμήμα Μαθηματικών της Σχολής Θετικών Επιστημών για το μάθημα «Μελέτη Περιπτώσεων στη Λήψη Αποφάσεων».

•  2015  Macroeconomic uncertainty. Definition, measurement and its effects. (5 Ιουνίου 2015) . Παρουσίαση στο Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών “Μαθηματικά των Υπολογιστών και των Αποφάσεων” ("Mathematics of Computers and Decision Making") που συνδιοργανώνεται από το Τμήμα Μηχανικών Η/Υ και Πληροφορικής της Πολυτεχνικής Σχολής και το Τμήμα Μαθηματικών της Σχολής Θετικών Επιστημών για το μάθημα «Μελέτη Περιπτώσεων στη Λήψη Αποφάσεων».

•  2017 Structural Vector Autoregressive Models (SVAR): An introduction with empirical applications. (28 Απριλίου 2017). Παρουσίαση στο Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών “Μαθηματικά των Υπολογιστών και των Αποφάσεων” ("Mathematics of Computers and Decision Making") που συνδιοργανώνεται από το Τμήμα Μηχανικών Η/Υ και Πληροφορικής της Πολυτεχνικής Σχολής και το Τμήμα Μαθηματικών της Σχολής Θετικών Επιστημών για το μάθημα «Μελέτη Περιπτώσεων στη Λήψη Αποφάσεων».

•  2017 QML-EM estimation of dynamic factor models in gretl. Towards a Labor Market Condition Index for Greece. Marche Polytechnic University, Department of Economics and Social Sciences, Ancona, Italy (November 9, 2017)

•  2018 Time series forecasting and forecast evaluation in economics. An introduction. (April 26, 2018). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making." 

•  2019 FRED-MD: A Monthly Database for Macroeconomic Research (Using gretl) (March 28, 2019). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making." 

•  2020 Introduction to Big Data in Macroeconomic Research (Using gretl & FRED-MD dataset). (May 8, 2020). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making." 

• 2022 Greek Inflation-Overview and recent developments (Using gretl & large disaggregated datasets). (June 2, 2022). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making." 

• 2023 Understanding Greek inflation in the post COVID period. “Puzzling” behavior and core inflation measures. (April 6, 2023). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making." 

• 2024 Principal components based estimation of multilevel factor models. (April 11, 2024). Presentation at the Interdepartmental Master's Program "Data Driven Computing and Decision Making" of the University of Patras co-organized by the Department of Computer Engineering and Informatics of the School of Engineering and the Department of Mathematics of the School of Natural Sciences for the course "Research Methodology and Case Studies in Data-Based Decision Making."