29th (EC)^2 on Big Data Econometrics with Applications

Rome, Italy

 

Program Notes and Index of Sessions

 

Summary of All Sessions

Click here for an index of all participants

#Date/TimeTitlePapers
1December 13, 2018
8:30-9:00
Registration0
2December 13, 2018
9:00-9:15
Welcome Address - Senior Deputy Governor Salvatore Rossi0
3December 13, 2018
9:15-9:25
Opening address0
4December 13, 2018
9:25-10:10
Keynote Lecture - Stephen Hansen (Oxford University) - "Opening the Black-Box of Central Bank Communication"0
5December 13, 2018
10:10-10:40
Coffee Break0
6December 13, 2018
10:40-12:20
Financial Econometrics I4
7December 13, 2018
12:20-14:10
Lunch and Poster Session 19
8December 13, 2018
14:10-14:55
Keynote Lecture - Marcelo Medeiros (PUC, Rio) - "Forecasting Macroeconomic Variables with Big Data and Machine Learning Methods"0
9December 13, 2018
14:55-16:35
High Dimensions in Econometrics4
10December 13, 2018
16:35-17:45
Coffee Break and Poster Session 210
11December 13, 2018
17:45-19:00
Time Series and Networks3
12December 13, 2018
20:00-22:30
Social Dinner0
13December 14, 2018
9:00-10:15
Social Media and Big Data for Policy3
14December 14, 2018
10:15-10:50
Coffee Break0
15December 14, 2018
10:50-11:35
Keynote Lecture - Anders B. Kock (Oxford University) - "Power in High-Dimensional Testing Problems"0
16December 14, 2018
11:35-13:15
Microeconometrics4
17December 14, 2018
13:15-14:35
Lunch and Poster Session 38
18December 14, 2018
14:35-16:15
Financial Econometrics II4
19December 14, 2018
16:15-17:25
Coffee Break and Poster Session 48
20December 14, 2018
17:25-18:00
Round Table: Publishing in Econometrics0
21December 14, 2018
18:00-18:30
Farewell and Aperitivo0
 

21 sessions, 57 papers, and 0 presentations with no associated papers


 

29th (EC)^2 on Big Data Econometrics with Applications

Detailed List of Sessions

  
 
Session 1: Registration
December 13, 2018 8:30 to 9:00
 
Session Chair: Giuseppe Bruno, Bank of Italy
 
Session 2: Welcome Address - Senior Deputy Governor Salvatore Rossi
December 13, 2018 9:00 to 9:15
 
Session Chair: Stefano Siviero, Banca d'Italia
 
Session 3: Opening address
December 13, 2018 9:15 to 9:25
 
Session Chairs:
1. Peter Hansen, University of North Carolina at CH
2. Mehmet Caner, Ohio State University
3. Giuseppe Cavaliere, University of Bologna
 
Session 4: Keynote Lecture - Stephen Hansen (Oxford University) - "Opening the Black-Box of Central Bank Communication"
December 13, 2018 9:25 to 10:10
 
Session Chair: Stefano Siviero, Banca d'Italia
 
Session 5: Coffee Break
December 13, 2018 10:10 to 10:40
 
 
Session 6: Financial Econometrics I
December 13, 2018 10:40 to 12:20
 
Session Chair: Giuseppe Cavaliere, University of Bologna
 

Factor Models for Portfolio Selection in Large Dimensions
By Gianluca De Nard; University of Zurich
Olivier Ledoit; University of Zurich
Michael Wolf; University of Zurich
   presented by: Michael Wolf, University of Zurich
 

A Multi-Factor Realized GARCH with An Application to the Fama-French Model
By Ilya Archakov; University of Vienna
Peter Hansen; University of North Carolina at CH
Asger Lunde; Aarhus University
   presented by: Ilya Archakov, University of Vienna
 

Incremental Factor Model for High Frequency Observations with Large Dimension and Long Span
By Ye Lu; University of Sydney
Joon Park; Indiana University
   presented by: Ye Lu, University of Sydney
 

Vector Autoregressive Model with Dynamic Factors
By Federico Carlini; Università della Svizzera Italiana
Patrick Gagliardini; Università della Svizzera italiana
   presented by: Federico Carlini, Università della Svizzera Italiana
 
Session 7: Lunch and Poster Session 1
December 13, 2018 12:20 to 14:10
 
 

Prediction Bands for Yield Curves: A Dynamic Functional Factor Model Approach
By Sven Otto; University of Cologne
Nazarii Salish; Universidad Carlos III de Madrid
   presented by: Sven Otto, University of Cologne
 

External Validity in Fuzzy Regression Discontinuity Designs
By Marinho Bertanha; University of Notre Dame
Guido Imbens; Stanford University
   presented by: Marinho Bertanha, University of Notre Dame
 

Measuring Retail Trade Using Card Transactional Data
By Tomasa Rodrigo; BBVA
   presented by: Tomasa Rodrigo, BBVA
 

Detection of rare events: a machine learning toolkit with an application to banking crises
By Jerome Coffinet; Banque de France
   presented by: Jerome Coffinet, Banque de France
 

An automated approach towards sparse single-equation cointegration modelling
By Stephan Smeekes; Maastricht University
Etienne Wijler; Maastricht University
   presented by: Etienne Wijler, Maastricht University
 

On LASSO for Predictive Regression
By Ji Hyung Lee; University of Illinois
Zhentao Shi; The Chinese University of Hong Kong
   presented by: Zhentao Shi, The Chinese University of Hong Kong
 

Discover Regional and Size Effects in Global Bitcoin Blockchain via Sparse-Group Network AutoRegressive Modeling
By Ying Chen; National University of Singapore
Simon Trimborn
   presented by: Simon Trimborn, National University of Singapore
 

Testing for observation-dependent regime switching in mixture autoregressive models
By Mika Meitz; University of Helsinki
Pentti Saikkonen; University of Helsinki
   presented by: Mika Meitz, University of Helsinki
 

Inference in Misspecified Asset Pricing Models using a Large Matching Model
By Bertille Antoine; Simon Fraser University
   presented by: Bertille Antoine, Simon Fraser University
 
Session 8: Keynote Lecture - Marcelo Medeiros (PUC, Rio) - "Forecasting Macroeconomic Variables with Big Data and Machine Learning Methods"
December 13, 2018 14:10 to 14:55
 
Session Chair: Malene Kallestrup-Lamb, Aarhus University
 
Session 9: High Dimensions in Econometrics
December 13, 2018 14:55 to 16:35
 
Session Chair: Viktor Todorov, Northwestern University
 

A regularization approach for estimation and variable selection in high dimensional regression
By Yiannis Dendramis; Athens University of Economics and Business
Liudas Giraitis; Queen Mary University
George Kapetanios; King's
   presented by: Yiannis Dendramis, Athens University of Economics and Business
 

Locally Robust Semiparametric Estimation
By Juan Carlos Escanciano; Universidad Carlos III de Madrid
   presented by: Juan Carlos Escanciano, Universidad Carlos III de Madrid
 

Recovering Social Networks from Panel Data: Identification, Simulations and an Application
By Pedro CL Souza; University of Warwick
   presented by: Pedro CL Souza, University of Warwick
 

Penalized maximum likelihood estimation of finite mixture models
By Sofya Budanova; NRU HSE
   presented by: Sofya Budanova, NRU HSE
 
Session 10: Coffee Break and Poster Session 2
December 13, 2018 16:35 to 17:45
 
 

Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization
By Ancil Crayton; University College Dublin
   presented by: Ancil Crayton, University College Dublin
 

Measuring Property Price Variations Using Online Property Advertisements
By Indranil Gayen; Reserve Bank of India
   presented by: Indranil Gayen, Reserve Bank of India
 

Quantifying social segregation in large-scale networks
By Jo Thori Lind; University of Oslo
   presented by: Jo Thori Lind, University of Oslo
 

Regime Changes in Large Dimensional Factor Models: A New Test with an Application to Portfolio Choice
By Daniele Massacci; Bank of England
   presented by: Daniele Massacci, Bank of England
 

News and Consumer Card Payments
By Guerino Ardizzi; Banca d'Italia
Simone Emiliozzi; Banca d'Italia
Juri Marcucci; Bank of Italy
Libero Monteforte; Parliamentary Budget Office
   presented by: Simone Emiliozzi, Banca d'Italia
 

Concentration and Internet Advertising: The Rise of Buyer Power
By Francesco Decarolis; Bocconi University
Gabriele Rovigatti; Universita' di Roma Tor Vergata
   presented by: Gabriele Rovigatti, Universita' di Roma Tor Vergata
 

Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
By Thomas Götz; Deutsche Bundesbank
Alain Hecq; Maastricht University
   presented by: Thomas Götz, Deutsche Bundesbank
 

Monetary Policy across Space and Time
By Katerina Petrova; University of St Andrews
   presented by: Katerina Petrova, University of St Andrews
 

Estimating a Large-Dimensional Factor Model with Noisy High-Frequency Data
By Yucheng Sun; Capital University of Economics and Business
Wen Xu; Capital University of Economics and Business
   presented by: Wen Xu, Capital University of Economics and Business
 

A New Parametrization of Correlation Matrices
By Ilya Archakov; University of Vienna
Peter Hansen; University of North Carolina at CH
   presented by: Peter Hansen, University of North Carolina at CH
 
Session 11: Time Series and Networks
December 13, 2018 17:45 to 19:00
 
Session Chair: Gianluca Cubadda, Università di Roma
 

Community Detection in Large Vector Autoregressions
By Gudmundur Stefan Guðmundsson; CREATES and Department of Economics and Business Economics, Aarhus University
Christian Brownlees; Universitat Pompeu Fabra
   presented by: Christian Brownlees, Universitat Pompeu Fabra
 

Large scale panel choice model with unobserved heterogeneity
By Tomohiro Ando; University of Melbourne
Jushan Bai; Columbia University
   presented by: Tomohiro Ando, University of Melbourne
 

Bond Risk Premia with Machine Learning
By Daniele Bianchi; University of Warwick
Matthias Buechner; University of Warwick
andrea tamoni; LSE
   presented by: Matthias Buechner, University of Warwick
 
Session 12: Social Dinner
December 13, 2018 20:00 to 22:30
 
 
Session 13: Social Media and Big Data for Policy
December 14, 2018 9:00 to 10:15
 
Session Chair: Cathy Yi-Hsuan Chen, Humboldt-Universität
 

Machine Learning in the Service of Policy Targeting: The Case of Public Credit Guarantees
By Monica Andini; Bank of Italy
Michela Boldrini; University of Bologna
Emanuele Ciani; Bank of Italy
Alessio D'Ignazio; Bank of Italy
Guido de Blasio; Bank of Italy
Andrea Paladini; Università di Roma La Sapienza
   presented by: Emanuele Ciani, Bank of Italy
 

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
By Keven Bluteau; University of Neuchâtel
   presented by: Keven Bluteau, University of Neuchâtel
 

Can we measure inflation expectations using Twitter?
By Cristina Angelico; Bank of Italy
Juri Marcucci
Marcello Miccoli; Bank of Italy
Filippo Quarta; Banca d'Italia
   presented by: Cristina Angelico, Bank of Italy
 
Session 14: Coffee Break
December 14, 2018 10:15 to 10:50
 
 
Session 15: Keynote Lecture - Anders B. Kock (Oxford University) - "Power in High-Dimensional Testing Problems"
December 14, 2018 10:50 to 11:35
 
Session Chair: Mehmet Caner, Ohio State University
 
Session 16: Microeconometrics
December 14, 2018 11:35 to 13:15
 
Session Chair: Viktor Todorov, Northwestern University
 

The Role of the Propensity Score in Fixed Effect Models
By Dmitry Arkhangelsky; CEMFI
Guido Imbens; Stanford University
   presented by: Dmitry Arkhangelsky, CEMFI
 

Central Bank Policies and Financial Markets: Lessons from the Euro Crisis
By Ashoka Mody; International Monetary Fund
Milan Nedeljkovic; National Bank of Serbia; CESifo
   presented by: Milan Nedeljkovic, National Bank of Serbia; CESifo
 

Lassoing and Boosting The Causal Effects of The Retirement Decision on Health
By Nikolaj Hansen; Aarhus University
Malene Kallestrup-Lamb; Aarhus University
Anders Kock; University of Oxford
   presented by: Nikolaj Hansen, Aarhus University
 

Bayesian dynamic tensor regression
By Monica Billio; Università Ca' Foscari Venezia
Roberto Casarin; University Cà Foscari of Venice
Sylvia Kaufmann; Study Center Gerzensee
Matteo Iacopini; Ca' Foscari University of Venice
   presented by: Matteo Iacopini, Ca' Foscari University of Venice
 
Session 17: Lunch and Poster Session 3
December 14, 2018 13:15 to 14:35
 
 

A regularized structural factor-augmented vector autoregressive model
By Maurizio Daniele; University of Konstanz
Julie Schnaitmann; University of Konstanz
   presented by: Maurizio Daniele, University of Konstanz
 

The Heterogeneous Impact of Sugar Taxes on Cola Demand across Different Household Types
By Valerio Serse; UCLouvain
   presented by: Valerio Serse, UCLouvain
 

Cluster-robust Standard Errors for Linear Regression Models with Many Controls
By Riccardo D'Adamo; University College London
   presented by: Riccardo D'Adamo, University College London
 

Inflation and Economic Growth: Random Forest Methodology
By Sidika Basci; Yıldırım Beyazıt University, Ankara, Turkey and EISTI, Cergy, France
Houcine Senoussi; Cergy, France
   presented by: Sidika Basci, Yıldırım Beyazıt University, Ankara, Turkey and EISTI, Cergy, France
 

Shapley regressions: A tool for statistical inference on machine learning models
By Andreas Joseph; Bank of England
   presented by: Andreas Joseph, Bank of England
 

ICOs success drivers: a textual and statistical analysis
By paola Cerchiello; University of Pavia
Anca Toma; University of Pavia
   presented by: Anca Toma, University of Pavia
 

Loan screening and default prediction with Machine Learning and Deep Neural Networks
By Jeremy Turiel; University College London
Tomaso Aste; University College London
   presented by: Jeremy Turiel, University College London
 

Variance Dynamics in Term Structure Models
By CISIL SARISOY; Board of Governors of the Federal Reserve System
   presented by: CISIL SARISOY, Board of Governors of the Federal Reserve System
 
Session 18: Financial Econometrics II
December 14, 2018 14:35 to 16:15
 
Session Chair: Gianluca Cubadda, Università di Roma
 

Nonparametric Option-Implied Volatility
By Viktor Todorov; Northwestern University
   presented by: Viktor Todorov, Northwestern University
 

The Cross-sectional Distribution of Mutual Fund Skill
By Laurent Barras; McGill University
Patrick Gagliardini; Università della Svizzera italiana
Oliver Scaillet; University of Geneve and Seiss Finance Institute
   presented by: Laurent Barras, McGill University
 

Detecting Regimes of Predictability in the U.S. Equity Premium
By David Harvey; University of Nottingham
Steve Leybourne; Nottingham University
Robert Sollis; Newcastle University
Robert Taylor; University of Essex
   presented by: Robert Taylor, University of Essex
 

High-dimensional predictive regression in the presence of cointegration
By Bonsoo Koo; Monash University
Heather Anderson; Monash University
Myung Hwan Seo; Seoul National University
Wenying Yao; Deakin University
   presented by: Wenying Yao, Deakin University
 
Session 19: Coffee Break and Poster Session 4
December 14, 2018 16:15 to 17:25
 
 

Home is where the ad is: online interest proxies housing demand
By Marco Pangallo; University of Oxford
Michele Loberto; Banca d'Italia
   presented by: Michele Loberto, Banca d'Italia
 

Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
By Alain Hecq; Maastricht University
Luca Margaritella; Maastricht University
Stephan Smeekes; Maastricht University
   presented by: Luca Margaritella, Maastricht University
 

A dynamic factor model approach to incorporate Big Data in state space models for official statistics.
By Caterina Schiavoni; Maastricht University
Franz Palm; Maastricht University
Stephan Smeekes; Maastricht University
Jan van den Brakel; Statistics Netherlands
   presented by: Caterina Schiavoni, Maastricht University
 

Cointegration in functional autoregressive processes
By Massimo Franchi; Sapienza University of Rome
Paolo Paruolo; European Commission - Joint Research Centre
   presented by: Massimo Franchi, Sapienza University of Rome
 

Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model
By Gianluca Cubadda; Università di Roma
Barbara Guardabascio; Italian National italian Institute of Statistics (istat)
   presented by: Gianluca Cubadda, Università di Roma
 

Classifying Firms with Text Mining
By Giacomo Caterini; University of Trento
   presented by: Giacomo Caterini, University of Trento
 

Semiparametric estimation of the relationship between recessions and health
By Marta Boczon; University of Pittsburgh
   presented by: Marta Boczon, University of Pittsburgh
 

An Orthogonal Approach to Inference for Deep Learning
By Alex Parret; UCI
   presented by: Alex Parret, UCI
 
Session 20: Round Table: Publishing in Econometrics
December 14, 2018 17:25 to 18:00
 
Session Chair: Mehmet Caner, Ohio State University
 

Discussants:
     1 Peter Hansen, University of North Carolina at CH
     2 Viktor Todorov, Northwestern University
     3 Giuseppe Cavaliere, University of Bologna
     4 Juan Carlos Escanciano, Universidad Carlos III de Madrid
     5 Robert Taylor, University of Essex
     6 Marcelo Medeiros, Pontifical Catholic University of Rio de Janeiro
 
Session 21: Farewell and Aperitivo
December 14, 2018 18:00 to 18:30
 
Session Chairs:
1. Mehmet Caner, Ohio State University
2. Peter Hansen, University of North Carolina at CH
3. Giuseppe Cavaliere, University of Bologna
 

 

Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Ando, TomohiroP11
2Angelico, CristinaP13
3Antoine, BertilleP7
4Archakov, IlyaP6
5Arkhangelsky, DmitryP16
6Barras, LaurentP18
7Basci, SidikaP17
8Bertanha, MarinhoP7
9Bluteau, KevenP13
10Boczon, MartaP19
11Brownlees, ChristianP11
12Bruno, GiuseppeC1
13Budanova, SofyaP9
14Buechner, MatthiasP11
15Caner, MehmetC3, C15, C20, C21
16Carlini, FedericoP6
17Caterini, GiacomoP19
18Cavaliere, GiuseppeC3, C6, D20, C21
19Chen, Cathy Yi-HsuanC13
20Ciani, EmanueleP13
21CL Souza, PedroP9
22Coffinet, JeromeP7
23Crayton, AncilP10
24Cubadda, GianlucaC11, C18, P19
25D'Adamo, RiccardoP17
26Daniele, MaurizioP17
27Dendramis, YiannisP9
28Emiliozzi, SimoneP10
29Escanciano, Juan CarlosP9, D20
30Franchi, MassimoP19
31Gayen, IndranilP10
32Götz, ThomasP10
33Hansen, NikolajP16
34Hansen, PeterC3, P10, D20, C21
35Iacopini, MatteoP16
36Joseph, AndreasP17
37Kallestrup-Lamb, MaleneC8
38Lind, Jo ThoriP10
39Loberto, MicheleP19
40Lu, YeP6
41Margaritella, LucaP19
42Massacci, DanieleP10
43Medeiros, MarceloD20
44Meitz, MikaP7
45Nedeljkovic, MilanP16
46Otto, SvenP7
47Parret, AlexP19
48Petrova, KaterinaP10
49Rodrigo, TomasaP7
50Rovigatti, GabrieleP10
51SARISOY, CISILP17
52Schiavoni, CaterinaP19
53Serse, ValerioP17
54Shi, ZhentaoP7
55Siviero, StefanoC2, C4
56Taylor, RobertP18, D20
57Todorov, ViktorC9, C16, P18, D20
58Toma, AncaP17
59Trimborn, SimonP7
60Turiel, JeremyP17
61Wijler, EtienneP7
62Wolf, MichaelP6
63Xu, WenP10
64Yao, WenyingP18

 

This program was last updated on 2018-12-10 12:26:28 EDT