Contributions in theoretical and applied time series econometrics Workshop - 2023
Event details
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 University of Sheffield, Portobello Centre, Seminar Room C02 A.
The registration is free and all are welcome to attend. Registration link is here.
Invited speakers
Jia Chen (University of York)
Hira Koul (Michigan State University)
Suhasini Subba Rao (Texas A&M University)
Dennis Kristensen (University College London)
Robert Sollis (Newcastle University)
Robert Taylor (University of Essex)
Anthony Garret (University of Warwick)
Kevin Lee (University 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 – University 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 University 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 University Learning graphical models for nonstationary time series |
| 12:05 – 12:50 | Dennis Kristensen – University 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 University On the predictability of stock market bubbles: Evidence from a large macroeconomic dataset |
| 14:35 – 15:20 |
Robert Taylor – University 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 – University of Warwick Asymmetry and interdependence when evaluating energy information administration forecasts |
| 16:25 – 17:10 | Kevin Lee – University 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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