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