Programme
VILLA MONDRAGONE TIME SERIES SYMPOSIUM
in honour of Marco Lippi, celebrating his contributions to Econometrics
October 2 – 4, 2024
Villa Mondragone, Via Frascati, 51, 00078 Monteporzio Catone
Scientific Committee
Tommaso Proietti, Alessandro Giovannelli, Marc Hallin
Organizing Committee
Giulia Armetta, Verdiana Ciampricotti, Alessandro Giovannelli, Tommaso Proietti
WEDNESDAY, OCTOBER 2 – SALA DEGLI SVIZZERI
08:55 – 09:00 Welcome and Opening
| SESSION 1: | CHAIR ALESSANDRA LUATI |
| 9:00-9:35 | Jean-Michel Zakoian (CREST and ENSAE). Testing for breaks in the conditional mean based on the estimating function approach. |
| 9:35-10:10 | Christian Francq (CREST and ENSAE). Asymptotics for penalized QMLEs of time series regressions. |
| 10:10-10:45 |
Alessandra Luati (Imperial College London). NIRVAR: Network informed restricted vector autoregression. |
| 10:45-11:15 | COFFEE BREAK |
| SESSION 2: | CHAIR PILAR PONCELA |
| 11:15-11:50 | Anders Rahbek (University of Copenhagen). On the bootstrap in duration, or waiting, time models. |
| 11:50-12:25 |
Fabio Canova (BI Norwegian Business School). Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models. |
| 12:25-13:00 | Pilar Poncela (Universidad Autonoma de Madrid). Frequency Identification in Singular Spectrum Analysis. |
| 13:00-14:00 | LUNCH |
| SESSION 3: | CHAIR MIRKO ARMILLOTTA |
| 14:00-14:35 | Weining Wang (University of Groningen). Inference on many jumps in nonparametric panel regression models. |
| 14:35-15:10 | Konstantinos Fokianos (University of Cyprus). Spatio-temporal count autoregression. |
| 15:10-15:45 | Mirko Armillotta (Vrije Universiteit Amsterdam). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models. |
| 15:45-16:15 | COFFEE BREAK |
| SESSION 4: | CHAIR TOMMASO PROIETTI |
| 16:15-16:50 | Tommaso Proietti (Università di Roma Tor Vergata). Measuring cyclical turning points and output gaps with high-dimensional time series. |
| 16:50-18:00 | Guided Tour Villa Mondragone (by invitation only) |
THURSDAY, OCTOBER 3 – SALA DEGLI SVIZZERI
| SESSION 1: | CHAIR MARC HALLIN |
| 9:00-9:35 | Jianqing Fan (Princeton University). Universally Trainable Optimal Prediction Intervals Aggregation. |
| 9:35-10:10 | Masanobu Taniguchi (Waseda University). Jackknifed Whittle Estimators. |
| 10:10-10:45 | Marc Hallin (Université Libre de Bruxelles). The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High-Dimensional Time Series. |
| 10:45-11:15 | COFFEE BREAK |
| SESSION 2: | CHAIR MARIO FORNI |
| 11:15-11:50 | Marco Lippi (Einaudi Institute for Economics and Finance). Aggregation and Feedback in Economics and Macroeconometrics. |
| 11:50-12:25 | Daniel Peña (UCM3 Universidad Carlos Tercero Madrid). Forecasting High Dimensional Time Series with Dynamic Dimension Reduction. |
| 12:25-13:00 | Luca Gambetti (Universitat Autònoma de Barcelona), Mario Forni (Università di Modena). Asymmetric Monetary Policy Tradeoffs. |
| 13:00-14:00 | LUNCH |
| SESSION 3: | CHAIR ESTHER RUIZ |
| 14:00-14:35 | Paolo Zaffaroni (Imperial College London). Frequency-Band Estimation of the Number of Factors. |
| 14:35-15:10 | Matteo Barigozzi (Università di Bologna).Tail-robust factor modelling of vector and tensor time series in high dimensions. |
| 15:10-15:45 | Esther Ruiz (UCM3 Universidad Carlos Tercero Madrid). Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors. |
| 15:45-16:15 | COFFEE BREAK |
| SESSION 4: | CHAIR ALESSANDRO GIOVANNELLI |
| 16:15-16:50 | Manfred Deistler (University of Vienna). High-Dimensional Dynamic Factor Models: A Selective Survey. |
| 16:50-17:25 | Melanie Schienle (Karlsruhe Institute of Technology). Consistent model determination of ultra-high dimensional nonstationary time series. |
| 17:25-18:00 | Alessandro Giovannelli (Università dell'Aquila). Spectral-Based Variable Selection of High-Dimensional Data for Prediction of the El Nino/Southern Oscillation Cycle. |
| CONFERENCE DINNER (by invitation only) |
FRIDAY, OCTOBER 4 – SALA DEGLI SVIZZERI
| SESSION 1: | CHAIR LUCA FANELLI |
| 9:00-9:35 | Barbara Rossi (Universitat Pompeu Fabra and European University Institute). A four century perspective on short-term real interest rates and the term premium. |
| 9:35-10:10 | Andrew Harvey (University of Cambridge). Hidden Threshold Models with applications to asymmetric cycles. |
| 10:10-10:45 | Luca Fanelli (Università di Bologna). Invalid proxies and volatility changes. |
| 10:45-11:15 | COFFEE BREAK |
| SESSION 2: | CHAIR RAFFAELLA GIACOMINI |
| 11:15-11:50 |
Liudas Giraitis (Queen Mary University of London). Estimation of random cycles in persistent time series. |
| 11:50-12:25 |
Stefano Soccorsi (University of Lancaster). Macroeconomic cycles and bond return predictability. |
| 12:25-13:00 | Raffaella Giacomini (University College London). Perceived Shocks and Impulse Responses. |
| 13:00-14:00 | LUNCH |
| SESSION 3: | CHAIR ARTEM PROKHOROV |
| 14:00-14:35 | Massimo Franchi (Università di Roma La Sapienza). Estimation and inference on stochastic trends via functional approximation. |
| 14:35-15:10 | Gabriele Fiorentini (Università di Firenze). Information matrix tests for Gaussian mixtures and regime switching models. |
| 15:10-15:45 | Artem Prokhorov (University of Sydney and CEBA St Petersburg). Mixed Integer Programming for Change-point Detection in Time Series Regression. |
| 15:45-16:15 | COFFEE BREAK |
| SESSION 4: | CHAIR ALESSANDRO CASINI |
| 16:15-16:50 | Yufei Li (King's College London). Regression modelling under general heterogeneity. |
| 16:50-17:25 | Gianluca Cubadda (Università di Roma Tor Vergata). VAR models with an index structure: A survey with new results. |
| 17:25-18:00 | Alessandro Casini (Università di Roma Tor Vergata). Identification and Estimation of Causal Effects in High-Frequency Event Studies. |