Contributions in theoretical and applied time series econometrics Workshop - 2023

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Event details

Thursday 25 May 2023
9:00am

Description

The Sheffield Time Series Econometrics Research Group is delighted to announce the upcoming workshop titled “Contributions in Theoretical and Applied Time Series Econometrics”. The event is sponsored by the Royal Economic Society. The workshop will bring together some of the leading experts in the fields of econometrics and statistics and will take place on 25 May 2023, 09:00 - 17:10, at the СŷƵ of Sheffield, Portobello Centre, Seminar Room C02 A.

The registration is free and all are welcome to attend. Registration link is .

Invited speakers

Jia Chen (СŷƵ of York)
Hira Koul (Michigan State СŷƵ)
Suhasini Subba Rao (Texas A&M СŷƵ)
Dennis Kristensen (СŷƵ College London)
Robert Sollis (Newcastle СŷƵ)
Robert Taylor (СŷƵ of Essex)
Anthony Garret (СŷƵ of Warwick)
Kevin Lee (СŷƵ of Nottingham)

Workshop programme

09:00 – 09:30 Welcome and Registration
09:30 – 11:00 Session 1 (Chair: Indeewara Perera)
09:30 – 10.15 Jia Chen – СŷƵ of York
High-frequency dual factor model: estimation of common factors for microstructure noise
and efficient prices
10.15 – 11.00

Hira Koul – Michigan State СŷƵ

Minimum distance estimation in linear errors-in-variables regression model

11:00 – 11:20 Morning Break
11:20 – 12:50 Session 2 (Chair: Kanchana Nadarajah)
11:20 – 12:05 Suhasini Subba Rao – Texas A&M СŷƵ
Learning graphical models for nonstationary time series
12:05 – 12:50 Dennis Kristensen – СŷƵ College London
Local polynomial estimation of time-varying parameters
12:50 – 13:50 Lunch Break
13:50 – 15:20 Session 3 (Chair: Emily Whitehouse)
13:50 – 14:35 Robert Sollis – Newcastle СŷƵ
On the predictability of stock market bubbles: Evidence from a large macroeconomic
dataset
14:35 – 15:20

Robert Taylor – СŷƵ of Essex

Bonferroni type tests for return predictability with possibly trending predictors

15:20 – 15:40 Afternoon Break
15:40 – 17:10 Session 4 (Chair: Vito Polito)
15:40 – 16:25 Anthony Garratt – СŷƵ of Warwick
Asymmetry and interdependence when evaluating energy information administration
forecasts
16:25 – 17:10 Kevin Lee – СŷƵ of Nottingham
Tracking trend output using expectations data
19:00 – Dinner (by invitation)

You can download the full programme here.


Location

53.38105, -1.47828

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