12 September 2024, Anne van Delft (Columbia). A statistical framework for analyzing shape in a time series of random geometric objects. Guest Panellist: Wolfgang Polonik (UC Davis). No Video.

19 September 2024, Lorenzo Trapani (Leicester). Inference on breaks in weak location models with quasi Fisher scores. Guest Panellist: Alessandro Casini (Rome Tor Vergata). Video

26 September 2024, Raffaella Giacomini (UCL). Perceived shocks and impulse responses. Guest Panellist: Tatevik Sekhposyan (TAMU). Video

3 October 2024, Brendan Beare (Sydney). The general solution to an autoregressive law of motion.  Guest Panellist: Martin Wagner (Klagenfurt). No Video.

10 October 2024, Bertille Antoine (Simon Fraser). Efficient two-sample instrumental variable estimators with change points and near-weak identification. Guest Panellist: Daniel Lewis (UCL). Video

17 October 2024, Lynda Khalaf (Carleton). Predictive identification robust confidence sets with application to tail risk measures.  Guest Panellist:  Arturo Leccadito (Calabria). CANCELLED

24 October 2024, Valentina Corradi (Surrey). Testing Predictive Accuracy with Penalized Regression. Guest Panellist: Daniele Massacci (KCL). Video

31 October 2024, Kenichi Nagasawa (Warwick). Optimal Granular Instrumental Variables: Sequential Estimation of Long Panels with Finite Cross Section. Guest Panellist: Prosper Dovonon (Concordia). Video

7 November 2024, Manfred Deistler (Vienna). High-Dimensional Dynamic Factor Models: A Selective Survey. Guest Panellist: Marco Lippi (EIEF). Slides, Video

14 November 2024, Jean-Marie Dufour (McGill).  Intervention analysis, causality and generalized impulse responses in VAR models: theory and inference. Guest Panellist: Carlos Velasco (UC3M). Video

21 November 2024, James Duffy (Oxford). Common Trends and Long-Run Identification in Nonlinear Structural VARs. Guest Panellist: Peter Boswijk (Amsterdam). Video

28 November 2024, Stefán Guðmundsson (Aarhus). Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions. Guest Panellist: Bjarni Einarsson (Central Bank of Iceland). Video

5 December 2024, Zhongjun Qu (Boston). Fitting Dynamically Misspecified Models: An Optimal Transportation Approach. Guest Panellist: Alfred Galichon (NYU). Video

23 January 2025, Davide Pettenuzzo (Brandeis). Macroeconomic Forecasting with Large Language Models. Guest Panellist: Philippe Goulet Coulombe (Québec). Video

30 January 2025, Minchul Shin (Phil FED). Inference Based on Time-Varying SVARs Identified with Sign Restrictions. Guest Panellist: Gary Koop (Strathclyde) and Gregor Kastner (Universitaet Klagenfurt). No Video.

6 February 2025, Paolo Zaffaroni (Imperial). Factor Models for Conditional Asset Pricing. Guest Panellist: Riccardo Passeggeri (Imperial). Video

13 February 2025, EunYi Chung (Illinois).  Permutation tests under dependence. Guest Panellist: Yookyung Julia Koh (Tilburg). No Video.

20 February 2025, Yannick Hoga (Duisburg-Essen). Self-Normalized Inference in Quantile and Expected Shortfall Regressions. Guest Panellist: Timo Dimitriadis (Frankfurt). Video

27 February 2025, Leopoldo Catania (Aarhus). A new way to specify dynamic models. Guest Panellist: Genaro Sucarrat (BI Norwegian Business School). Video

6 March 2025, Adam Sykulski (Imperial). Debiasing Welch's Method for Spectral Density Estimation. Guest Panellist: Peter Craigmile (CUNY). Video

13 March 2025, Prosper Dovonon (Concordia). A uniformly valid test for instrument exogeneity. Guest Panellist: Mohamed Doukali (Liverpool). Video

20 March 2025, Francisco Blasques (VU). A Score-Driven Filter for Causal Regression Models with Time-Varying Parameters and Endogenous Regressors. Guest Panellist: Enzo D'Innocenzo. Video

27 March 2025, Weining Wang (Groningen). Low-Rank and Sparse Network Regression. Guest Panellist: Xun Tang (Rice) and Tom Boot (Groningen). Video

3 April 2025, Laura Liu (Pittsburgh). Binary Outcome Models with Extreme Covariates: Estimation and Prediction. Guest Panellist: Yinchu Zhu (Brandeis). Video

10 April 2025,  Virtual Workshop for Junior Researchers in Time Series

14 September 2023, Alexander Aue (UC Davis), Random Matrix Theory for High-dimensional Time Series. Guest Panellist: Alexei Onatski (Cambridge). Video

21 September 2023, Andrii Babii (UNC), Tensor Principal Component Analysis. Guest Panellists: Yao Zheng (Connecticut) and Mirco Rubin (EDHEC). Video

28 September 2023, Matteo Barigozzi (Bologna), FNETS: Factor-adjusted Network Estimation and Forecasting for High-dimensional Time Series. Guest Panellist: Esther Ruiz (UC3M). Video

5 October 2023, Ed Herbst (Fed Board),  Bias in Local Projections. Guest Panellist: Giuseppe Ragusa (Sapienza). Video

12 October 2023, Eric Eisenstat (Queensland), Singular Vector Autoregressions. Guest Panellist: Peter Zadrozny (Bureau of Labor Statistics). Video

19 October 2023, Christian Brownlees (UPF), Empirical Risk Minimization for Principal Component Regression. Guest Panellist: Jonas Striaukas (Copenhagen Business School). Video

26 October 2023, Paul Ho (Richmond Fed), Averaging Impulse Responses Using Prediction Pools. Guest Panellist: Gianni Amisano (FED Board). Video

2 November 2023, Marie-Christine Düker (Friedrich-Alexander), Testing for Common Structures in High-Dimensional Factor Models. Guest Panellist: Younghoon Kim (Cornell). Video

9 November 2023, Daniel Lewis (UCL), A Robust Test for Weak Instruments with Multiple Endogenous Regressors. Guest Panellist: Frank Windmeijer (Oxford). Video

16 November 2023, Otilia Boldea (Tilburg), Bootstrapping GMM tests for an Unknown Threshold. Guest Panellist: Jean-Yves Pitarakis (Southampton). Video

23 November 2023, Karim Abadir (Imperial), Explicit Minimal Representation of Variance Matrices, and its Implication for Dynamic Volatility Models. Guest Panellist: Christian Conrad (Heidelberg). Video

30 November 2023, Stephan Smeekes (Maastricht), Inference in Non-stationary High-Dimensional VARs. Guest Panellist: Giuseppe Cavaliere (Bologna & Exeter). Video

7 December 2023, Yoosoon Chang (Indiana), Unravelling Dynamic Interactions of Economic Activity and Climate Change. Guest Panellist: Mikkel Plagborg-Moller (Princeton). Video

1 February 2024,  Almut Veraart (Imperial), Nonparametric Estimation of Trawl Processes: Theory and Applications. Guest Panellist: Orimar Sauri (Aalborg University). Video

8 February 2024,  Kostas Fokianos (Cyprus), Auto-Distance Covariance Function for Time Series Analysis. Guest Panellist: Adam Sykulski (Imperial). Video

22 February 2024,   Barbara Rossi (UPF). Has the Phillips curve flattened? Guest Panellists: Domenico Giannone (IMF) and Jesus Gonzalo (Carlos III).

29 February 2024,   Allan Timmermann (UCSD), Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. Guest Panelist: Giovanni Urga (Bayes). Video

14 March 2024,   Bent Nielsen  (Oxford), Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation. Guest Panellist: Jennifer Castle (Oxford). Video

28 March 2024,   Siem Jan Koopman  (VU Amsterdam), The Extremum Monte Carlo Filter for Nonlinear Non-Gaussian State Space Models. Guest Panellist: Drew Creal (Notre Dame). Video

4 April 2024,   Mihai Cucuringu (Oxford), Graph Clustering and Ranking for Multivariate Time Series with Applications to Statistical Arbitrage and Lead-Lag Detection. Guest Panellist: Alex Shestopaloff (Queen Mary).

11 April 2024, Andrew Patton  (Duke). Bespoke Realized Volatility: Tailored Measure of Risk for Volatility Prediction. Guest Panellist: Nikolaus Hautsch (Vienna). Video

18 April 2024,  Virtual Workshop for Junior Researchers in Time Series

15 September, 2022, Peter R Hansen (UNC), A New Parametrization of Correlation Matrices: Finite Sample Properties and Applications. Guest Panellist: Otilia Boldea (Tilburg) and Ilya Archakov (Vienna). Video

22 September, 2022, Anna Mikusheva (MIT), Linear Regression with Weak Exogeneity. Guest Panellist: Mikkel Sølvsten (Aarhus). Video

29 September, 2022, Giuseppe Cavaliere (Bologna), Bootstrap Inference in the Presence of Bias. Guest Panellist: Valentina Corradi (Surrey).

6 October, 2022, Tatevik Sekhposyan (Texas A&M), Networking the Yield Curve Surprises: Implications for Monetary Policy. Guest Panellists: Julia Schaumburg (Vrije Universiteit Amsterdam) and Tatjana Dahlhaus (Bank of Canada). Video

13 October, 2022, Silvia Goncalves (McGill), When do state-dependent local projections work? Guest Panellists: Helmut Lütkepohl (DIW), Ana Maria Herrera (University of Kentucky), Lutz Kilian (Federal Reserve Bank of Dallas), and Elena Pesavento (Emory University). Video

20 October, 2022, Suhasini Subba Rao (Texas A&M), Graphical models for nonstationary time series. Guest Panellist: Sumanta Basu (Cornell) and Jonas Krampe (Mannheim). Video

27 October, 2022, Toru Kitagawa (Brown), Policy Choice in Time Series by Empirical Welfare Maximization. Guest Panellists: Weining Wang (York) and Mengshan Xu (Mannheim). Video

3 November, 2022, Anna Bykhovskaya (Duke), Asymptotics of Cointegration Tests for High-Dimensional VAR(k). Guest Panellist, Vadim Gorin (Wisconsin). Video

10 November, 2022, Christian Wolf (MIT), What Can Time-Series Regressions Tell Us About Policy Counterfactuals. Guest Panellist, Christian Matthes (Indiana). Video

17 November, 2022, Mikkel Plagborg-Moller (Princeton), Local Projections vs. VARs: Lessons From Thousands of DGPs. Guest Panellist, Raffaella Giacomini (UCL). Video

24 November, 2022, Anna Simoni (CREST – ENSAE), Bayesian Bi-level Sparse Group Regressions for Macroeconomic Forecasting. Guest Panellist, Matteo Mogliani (Banque de France).

1 December, 2022, Vladas Pipiras (UNC), Multivariate count (ordinal) time series modeling through latent Gaussian processes. Guest Panellist, Marie Duker. Video

19 January, 2023, David Matteson (Cornell), Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages. Guest Panellists: Yao Zheng (Connecticut) and Ines Wilms (Maastricht). Video

26 January, 2023, Helmut Lutkepohl (DIW Berlin), Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies. Guest Panellist: Silvia Goncalves (McGill). Video

2 February, 2023, Joshua Chan (Purdue), High-Dimensional Conditionally Gaussian State Space Models with Missing Data. Guest Panellist: James Mitchell (Cleveland FED). Video

9 February, 2023, Patricia Ning (TAMU), High-dimensional parameter learning over non-linear and non-Gaussian time series models. Guest Panellist: Edward Ionides (Michigan). Video

16 February, 2023, Carlos Velasco (UC3M), Directional predictability tests. Guest Panellists: Tatevik Sekhposyan (TAMU) and Tommaso Proietti (Rome Tor Vergata). Video

23 February, 2023, Peter Boswijk (Amsterdam), Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. Guest Panellist: Marine Carrasco (Montreal). Video

2 March, 2023, Sophocles Mavroeidis (Oxford), Cointegration with Occasionally Binding Constraints. Guest Panellist: Dennis Kristensen (UCL). Video

9 March, 2023, Jesus Gonzalo (UC3M), Warming Dominance. Guest Panellist: Eric Hillebrand (Aarhus). Video

16 March, 2023, Alexei Onatskiy (Cambridge), Trace Test for High-dimensional Cointegration. Guest Panellist: Anna Bykhovskaya (Duke). Video

23 March, 2023, Konrad Menzel (NYU), Central Limit Theory for Models of Strategic Network formation. Guest Panellist: Mingli Chen (Warwick) and Aureo de Paula (UCL). Video

30 March, 2023, Ben Wong (Monash), A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*. Guest Panellist: Saeed Zaman (Cleveland Fed). Video

Virtual Workshop for Junior Researchers in Time Series

Date and Time

10 April 2025 from 13:00 to 17:30 (London time).

Videos

To access recordings of the presentations, please click here.

Program

Listed times are relative to London time.

Session 1: Dynamic Factor Models

13:00-13:20 Gabriele Mingoli (VU), Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model

13:20-13:40 Philipp Gersing (Vienna), A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)

13:40-14:00 Younghoon Kim (Cornell), Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series

Session 2: Graphical Models

14:00-14:20 Enrico Wegner (Maastricht), Transmission Channel Analysis in Dynamic Models

14:20-14:40 Michael Wieck-Sosa (CMU), Conditional Independence Testing in the Presence of Temporal Correlation and Nonstationarity

14:40-15:00 Panagiotis Andreou (UNC), Homogeneity Fusion for Grouped Network VAR Models

15:00-15:30 Break and informal chat with all participants

Session 3: Financial Econometrics

15:30-15:50 Frederik Krabbe (Aarhus), Causal Non-causal State Space Models and the Modelling of Financial Bubbles

15:50-16:10 Raul Riva (Northwestern), How much unspanned volatility can different shocks explain?

16:10-16:30 Fabrizio Ghezzi (UCSD), Do Regimes Matter for the Long-Run?

Session 4: Macroeconometrics

16:30-16:50 Jonas Striaukas (Copenhagen), Nowcasting and aggregation: Why small Euro area countries matter

16:50-17:10 Amedeo Andriollo (Warwick), Causality versus Serial Correlation: an Asymmetric Portmanteau Test

17:10-17:30 Joe Marlow (Surrey), Joint Bayesian Inference for DSGE Models

17:30 closing remarks

Virtual Workshop for Junior Researchers in Time Series

Date and Time

18 April 2024 from 13:00 to 18:00 (London time).

Videos

To access recordings of the presentations, please click here.

Program

Listed times are relative to London time.

Session 1 chair: Adriana Cornea-Madeira & Abderrahim Taamouti

13:00-13:20 Martin Fankhauser (Bocconi), Conformal Quantile Estimation in Economics

13:20-13:40 Raimondo Pala (Rome Tor Vergata), The causal interpretation of Panel Vector Autoregressions

13:40-14:00 Brendan Martin (Imperial), NIRVAR: Network Informed Restricted Vector Autoregression

Session 2 chair: Michele Piffer

14:00-14:20 Andrea Viselli (Milan), Integration of European electricity markets in a reverse mixed-frequency panel

14:20-14:40 Sinian Zheng (UCD) Empirical Research on ESG Factor-Optimized Asset Pricing and Multifactor Models

14:40-15:00 Andrey Ramos (UC3M), An Unconditional-Quantile Vector Error Correction Model to Analyze Climate Heterogeneity

15:00-15:30 Break and informal chat with all participants

Session 3 chair: Alessandra Luati

15:30-15:50 Frederik Krabbe (Aarhus), Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models

15:50-16:10 Pierluigi Vallarino (Erasmus), New rank-based tests and estimators for Common Dynamic Factors

16:10 - 16:30 Kenwin Maung (Rutgers), Estimating high-dimensional Markov-switching VARs

Session 4 chair: Geert Mesters

16:30-16:50 Ekaterina Ugulava (Amsterdam), Horizon-based estimation of volatility models: Application to Hausman-type Specification Testing and Forecasting

16:50-17:10 Shifan Yu (Lancaster), Realized Candlestick Wicks

17:10 - 17:30 Yasin Simsek (Duke), Intraday Variation in Systematic Risks and Information Flows

17:30 closing remarks

Virtual Workshop for Junior Researchers in Time Series

Date and Time

20 April 2023 from 13:00 to 18:00 (London time).

Videos

To access recordings of the presentations, please click here.

Program

Listed times are relative to London time.

Session 1 Chair: Abderrahim Taamouti

13:00-13:20 Luca Neri (Bologna), Invalid Proxies and Volatility Changes

13:20-13:40 Yuning Li (York), Estimating Time-Varying Networks for High-Dimensional Time Series

13:40-14:00 Sascha Keweloh (Dortmund), Incorporating Prior Economic Knowledge into Structural Vector Autoregressions and the Interaction of the Oil and Stock Market

Session 2 Chair: Alessandra Luati

14:00-14:20 Francesco Fusari (Surrey), Monetary Policy Decisions and Higher Moments of Federal Reserve Forecasts

14:20-14:40 Pierluigi Vallarino (Aarhus), Time Varying Kernel Densities as Dynamic Infinite Mixture Models

14:40-15:00 Fabrizio Ghezzi (Pavia, UCSD), A New Class of Renyi-Type Monitoring Statistics

15:00-15:30 Break and informal chat with all participants

Session 3 Chair: Adriana Cornea-Madeira

15:30-15:50 Karsten Reichold (Dortmund), Smooth Transition Cointegrating Regressions: Modified Nonlinear Least Squares Estimation and Inference

15:50-16:10 Tilmann Hartl (Konstanz), Financial and Real Uncertainty Shocks: Insights from Synthetic Proxy Variables

16:10-16:30 Julia Koh (McGill), Bootstrap inference for group factor models

Session 4 Chair: Dimitris Korobilis

16:30-16:50 Elisabetta Mirto (Milano, Bologna), Partially Identified Heteroskedastic SVARs

16:50-17:10 Weifeng Jin (Barcelona), Estimation of Time Series Models Using the Empirical Distribution of Residuals

17:10-17:30 Miguel Angel Cabello Perez (Carlos III Madrid), Robust Estimation of non-Gaussian dimension in structural linear systems

17:30-18:00 Break and informal chat with all participants