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Event

ECMFE Workshop: High-dimensional Econometrics and Machine Learning

  • Thu 23 May 24

    10:30 - 18:30

  • Colchester Campus

    EBS.2.34

  • Event type

    Lectures, talks and seminars

  • Event organiser

    Essex Business School

  • Contact details

    Workshop organisers

Essex Centre for Macro and Financial Econometrics (ECMFE) will host a workshop on “High-Dimensional Econometrics and Machine Learning” that will take place on Thursday 23rd of May 2024.

This will be a hybrid event taking place in Essex Business School (Colchester campus) room EBS 2.1, and online via the Zoom.  We are very pleased to welcome six external speakers, Professor Giuseppe Cavaliere (Bologna/Exeter), Professor Valentina Corradi (Surrey), Dr Katerina Chrysikou (King’s), Professor George Kapetanios (King’s), Professor Gary Koop (Strathclyde) and Professor Weining Wang (Groningen), who will each present a paper at the workshop. Tea and Coffee will be available throughout including a 30 minute tea/coffee break at 3:30pm. At the end of the workshop, Professor David Harvey (Nottingham) will give the Annual John Nankervis Lecture. The event will be followed by a workshop dinner at Wivenhoe house (by invitation only).

Workshop programme

Registration

10:15 ‐ 10:45am

Registration and Coffee, Essex Business School, Room EBS.2.66

Session 1

In EBS.2.34

10:45 ‐ 11:30am

Weining Wang (University of Groningen) “Inference on Derivatives of High Dimensional Regression Function with Deep Neural Network” (joint with Jianqing Fan and Yue Zhao).

 

11:30am ‐ 12:15pm

George Kapetanios (King’s College London) “Regression Modelling under General Heterogeneity” (joint with Liudas Giraitis and Yufei

Lunch

In EBS.2.66

12:15 ‐ 1:15pm

Lunch break (EBS 2.66)

Session 2

In EBS.2.34

1:15 ‐ 2:00pm

Valentina Corradi (University of Surrey) “Predictive Ability Tests with Regularized Forecasting Methods” (joint with Jack Fosten and Daniel Gutknecht).

 

2:00 ‐ 2:45pm

Katerina Chrysikou (King’s College London) “Heterogeneous Grouping Structures in Panel Data" (joint with George Kapetanios).

 

2:45 ‐ 3:30pm

Gary Koop (University of Strathclyde) “Incorporating Micro Data into Macro Models using Pseudo VARs" (joint with Stuart McIntyre, James Mitchell and Ping Wu).

Tea and coffee break

In EBS.2.66

3:30 ‐ 4:00pm

Tea and coffee break in EBS.2.66

Session 3

In EBS.2.34

4:00 ‐ 4:45pm

Giuseppe Cavaliere (University of Bologna/University of Exeter) “The Econometrics of Financial Duration Modeling”.

 

4:45 ‐ 5:30pm

Ilias Chronopoulos (University of Essex) “High‐Dimensional Generalised Penalised Least Squares” (joint with K.
Chrysikou and G. Kapetanios).

Annual John Nankervis Memorial Lecture

In EBS.2.34

5:30 ‐ 6:30pm

David Harvey (University of Nottingham) “Forecast Evaluation in the Presence of Instability”.

End of sessions

Workshop dinner

By invitation only

6.30pm

Wivenhoe House Hotel - Garden Suite

This workshop has been organised by Dr Ilias Chronopoulos and Professor Robert Taylor

Also see
Essex Centre for Macro and Financial Econometrics (ECMFE)
Essex Business School
Research at Essex Business School
EBS Research Seminar Series
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Contact


  • +44 (0) 1206 873333
  • University of Essex
  • Wivenhoe Park
  • Colchester CO4 3SQ

 

 

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