Center Events

Big Data in Predictive Dynamic Econometric Modeling Conference

May 18, 2017 | ARCH Building Room 208

Thursday, May 18th and Friday, May 19th, 2017

ARCH Building Room 208

Organized by Francis X. Diebold, Eric Ghysels, Per A. Mykland, and Lan Zhang
Administrative assistant: Violette Swinton

Sponsored by:
Warren Center for Network and Data Sciences, University of Pennsylvania
Stevanovich Center for Financial Mathematics, University of Chicago
Penn Institute for Economic Research (PIER), University of Pennsylvania

Themes of interest are centered around scalable methods for high-dimensional dynamic econometrics; that is, high-dimensional aspects of selection, shrinkage (toward sparsity, toward reduced rank, …), identification schemes for variance decompositions and impulse responses, summarization and visualization, optimal filtering, time-varying parameters, mixed-frequency and missing data, real-time vintage data, etc.

 

Thursday, May 18th:
SESSION I: Shrinkage, Selection, Combination and Sparsity, I

Chair: Andrea Carriero (Queen Mary, University of London)

 SESSION II: High‐Dimensional Covariance Matrices
Chair: Tim Bollerslev (Duke)
SESSION III: Shrinkage, Selection, Combination and Sparsity, II  
Chair: Nour Meddahi (Toulouse)
SESSION IV:  Network Econometrics
Chair: George Tauchen, Duke
Friday, May 19th
SESSION V: High‐Dimensional Dynamic Factor Modeling, I 
Chair: Andrew Patton (Duke)
  • Serena Ng (Columbia) and Jushan Bai, “Estimation of Common Factors by Regularized Principal Components” Download Slides
  • Viktor Todorov (Northwestern), Torben Andersen, Nicola Fusari, and Rasmus Varneskov, “Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span”  Download Slides
  • Christian Brownlees (Pompeu Fabra) and Geert Mesters, “Detecting Granular Time Series in Large Panels” Download Slides
SESSION VI: High‐Dimensional Dynamic Factor Modeling, II  
Chair: Giorgio Primiceri (Northwestern)
  • Glenn Rudebusch (FRB San Francisco), Jens Christensen, and Martin Andreasen, “Term Structure Modeling with Big Data” Download Slides
  • Matteo Barigozzi (London School of Economics) and Matteo Luciani, “Common Factors, Trends, and Cycles in Large Datasets” Download Slides
  • Eric Ghysels (UNC) and Xi Chen, “Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty” Download Slides
SESSION VII: Time‐Varying Parameters and Mixed‐Frequency Data in High‐Dimensional Filtering
Chair: Silvia Goncalves (Western Ontario)

For more details about this event please visit: https://www.sas.upenn.edu/~fdiebold/Warren2017/Main.html