Netherlands Econometric Study Group (Conference)
Dear students,
This year we are organising the 2018 annual conference of the NESG ( Netherlands Econometrics Study Group) in Amsterdam. 25th May 2018. This conference brings together many econometrician active in the Netherlands and beyond. It shows a broad spectrum of subjects that people are working on and is not centered around a single theme.
The invited speaker is Peter Phillips from Yale. He is not only an outstanding econometrician and editor of the top field journal Econometric Theory, but also a very good and entertaining speaker. He will discuss " Dynamic Panel Modeling of Climate Change "
You are cordially invited to attend his lecture or any of the other lectures. There are also 18 interesting posters that you can view informally.
For catering purposes it would be useful if you registered since we don't want to run out of food and drink (it is free for MSc Students) .
It will be held in M-building.
Details are on www.NESG.nl
Programme:
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9:00 – 9:50: Registration
9:50 – 9:55: Opening and Welcome
10:00 – 11:20 Session 1: Financial Time Series
Erik Kole Erasmus University Rotterdam Spillovers in Markov Switching
Frank Kleibergen University of Amsterdam Robust Inference for Consumption-Based Asset Pricing
Maria Grith Erasmus University Rotterdam Graphical Models for Multivariate Time Series Using Wavelets
Nalan Basturk Maastricht University Bayesian Factor Modeling with Industry Momentum Strategie
11:20 - 11:40 Coffee
11:40 - 12:40 Session 2: Invited Lecture
Peter C.B. Phillips
Yale University
Dynamic Panel Modeling of Climate Change
12:40 - 13:40 Lunch and posters
13:40 - 14:40 Session 3: Precision Covariance
Mario P. Rothfelder Tilburg University Estimating Sparse Long-Run Precision Matrices for Linear Multivariate Time Series
Anne Opschoor Vrije Universiteit, Amsterdam Time-varying tail behavior for realized covariance matrices
Nicolas Tavenier KU Leuven Flexible shrinkage of large-dimensional covariance matrices
14:40 - 15:00 Coffee
15:00 - 16:00 Session 4: Methods & Misspecification
Eleni Aristodemou University of Amsterdam A Discrete Choice Model for Horizontally and Vertically Differentiated Alternatives
Paolo Gorgi Vrije Universiteit, Amsterdam Missing observations in observation-driven time series models
Tom Boot University of Groningen Confidence sets for averaging estimators
16:00 - 17:00 Poster Session
Yicong Lin Maastricht University GLS Estimation and Confidence Sets for the Date of a Single Break in Models with Trends
Sun Li Maastricht University Detecting Time Irreversibility Using Quantile Autoregressive Models
Michael Gong Erasmus University Rotterdam Forecasting Implied Volatility Surface Using Put-Call Parity Deviations
Marc Nientker Vrije Universiteit, Amsterdam A Time-Varying Parameter Model for Local Explosions
Luca Margaritella Maastricht University Granger Causality test in High-dimensional VARs: a Post-Double-Selection Procedure
Kasia Lasak University of Amsterdam A FCVAR Model Analysis of Long-run Relationship and Price Discovery in the Foreign Exchange Market.
Jochem Oorschot Erasmus University Rotterdam Tail dependence of OLS
Hanan E.G. Ahmed Tilburg University Improved estimation of the extreme value index using related variables
Etiënne Wijler Maastricht University SPECS: An Automated Approach Towards Sparse Single Equation Cointegration Modelling
Caterina Schiavoni Maastricht University Realtime estimation of unemployment with dynamic factor and state space models
Bernd Schwaab European Central Bank Nonlinear dynamic factor models with interacting level and volatility
Alexander Heinemann Maastricht University A Justification of Conditional Confidence Intervals
Alaa Abi Morshed Tilburg University Test for structural breaks in the variance of OLS estimators
Oliver Wichert Tilburg University Liquidity premiums in various asset clases
Lingwei Kong University of Amsterdam
Sanna Stephan University of Amsterdam
Agnieszka Borowska Vrije Universiteit, Amsterdam
Petra Tomanova Vrije Universiteit, Amsterdam
17:00 – 18:00 Session 6: Discrete Dynamic Models
Laura Spierdijk University of Groningen Moment conditions for the quadratic regression model with measurement error
Olivier De Groote KU Leuven The effects of high school curriculum. A model of program and effort choice.
Julio A. Crego Tilburg University Endogenous Health Groups and Heterogeneous Dynamics of the Elderly