Milan Time Series Seminars
The goal of the Milan Time Series Seminars (MiTSS) is to bring together researchers with common interests in time series econometrics. The seminar provides a forum for researchers to present their work to a broad academic and professional audience.
Each seminar lasts for 60 minutes, followed by an informal discussion, and will be delivered at
University of Milan (Statale) - Department of Economics, Management and Quantitative Methods (DEMM),
University of Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and its datalab,
Fondazioni Eni Enrico Mattei (FEEM)
Politecnico di Milano - Department of Management, Economics and Industrial Engineering
Bocconi University - BAFFI Centre on Economics, Finance and Regulation and Department of Economics Ettore Bocconi
Catholic University of Milan - Department of Economics and Finance
Scientific Committee:
Andrea Bastianin (University of Milan-Statale and FEEM)
Chiara Casoli (FEEM)
Fabrizio Iacone (University of Milan-Statale)
Matteo Manera (University of Milano-Bicocca and FEEM)
Massimiliano Marcellino (Bocconi University)
Riccardo Masolo (Catholic University of Milan)
Andrea Monticini (Catholic University of Milan)
Matteo Pelagatti (University of Milano-Bicocca)
Luca Rossini (University of Milan-Statale and FEEM)
Daniele Siena (Politecnico di Milano)
Upcoming seminars for the Academic Year 2024/25:
18 October 2024 at 16:00:
Speaker: Geert Mesters (Universitat Pompeu Fabra)
Title: Innovations meet Narratives - improving the power-credibility trade-off in macro- (jointly with Regis Barnichon (San Francisco Fed))
Abstract: In empirical macro, instances of clear and indisputable exogenous variation are rare, and researchers often face a difficult trade-off between credibility and efficiency. In this work, we introduce a new method --innovation-powered IV--, which allows to reduce the confidence intervals of a credible but low power identification scheme (e.g., a narrative instrument) by leveraging the high-power of a possibly misspecified parametric identification assumption (e.g., a short run restriction). The method delivers large reductions in confidence intervals for the causal effects of monetary policy, taxes, government spending and oil price shocks, with improvements of 40 percent or more compared to state of the art narratively-identified estimates.
Location: Bocconi University, Via Roentgen 1, ALESINA SEMINAR Room 5-e4-sr04 (fifth floor)
07 November 2024 at 12:15:
Speaker: Efrem Castelnuovo (University of Padova)
Title: TBA
Abstract: TBA
Location: University of Milan -Seminar Room (2nd Floor), Via Conservatorio 7
19 November 2024 at 12:00:
Speaker: Esther Ruiz Ortega (Universidad Carlos III de Madrid)
Title: Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors: Relevance for constructing inflation scenarios (jointly with Diego Fresoli and Pilar Poncela (Univ. Autónoma de Madrid )
Abstract: In this paper, we propose a computationally simple estimator of the asymptotic covariance matrix of the Principal Components (PC) factors valid in the presence of cross-correlated idiosyncratic components. The proposed estimator of the asymptotic Mean Square Error (MSE) of PC factors is based on adaptive thresholding the sample covariances of the idiosyncratic residuals with the threshold based on their individual variances. We compare the finite sample performance of confidence regions for the PC factors obtained using the proposed asymptotic MSE with those of available extant asymptotic and bootstrap regions and show that the former beats all alternative procedures for a wide variety of idiosyncratic cross-correlation structures.
Location: FEEM, Corso Magenta 63, Sala Cinema
05 December 2024 at 12:15:
Speaker: Michele Piffer (King's College London and Bank of England)
Title: TBA
Abstract: TBA
Location: University of Milan -Seminar Room (2nd Floor), Via Conservatorio 7
11 December 2024 at 12:00:
Speaker: Raffaella Giacomini (University College London)
Title: TBA
Abstract: TBA
Location: University of Milano-Bicocca, Second floor of the U7 building, room 2104.
16 January 2025 at 12:00:
Speaker: Matteo Barigozzi (University of Bologna)
Title: TBA
Abstract: TBA
Location: FEEM, Corso Magenta 63, Sala Cinema
06 February 2025 at 12:15:
Speaker: Toru Kitagawa (Brown University)
Title: TBA
Abstract: TBA
Location: University of Milan -Seminar Room (2nd Floor), Via Conservatorio 7
21 February 2025 at 12:15:
Speaker: Evi Pappa (Universidad Carlos III de Madrid)
Title: TBA
Abstract: TBA
Location: Politecnico of Milan (Bovisa) - Via R. Lambruschini 4/B
17 March 2025 at 16:00:
Speaker: Simone Manganelli (European Central Bank)
Title: TBA
Abstract: TBA
Location: Bocconi University
26 March 2025 at 10:00:
Speaker: Giovanni Urga (Bayes Business School, City University of London)
Title: TBA
Abstract: TBA
Location: University of Milano-Bicocca, Second floor of the U7 building, room 2104.
