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Econometrics Seminar 2012-2013

  • October 2, 2012. Gary Koop (University of Stratchclyde), “Large Time-Varying Parameter VARs” (Joint with D. Korobils)
  • October 23, 2012. Peter Hansen (European University Institute),”Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility”
  • November 20, 2012. Frank Schorfheide (University of Pennsylvania), “A New Class of Nonlinear Time Series Models for the Evaluation of DSGE Models” (Joint with S. Boragan and L. Bocola)
  • November 27, 2012. Luca Gambetti (Univ. Autonoma Barcelona), “No News in Business Cycles” (Joint with M. Forni and L. Sala)
  • December 4, 2012. Christian Matthes (Univ. Pompeu Fabra), “Drifts, volatilities and impulse responses over the last century” (Joint with P. A. Ahmadi and M. Wang)
  • December 11, 2012. Atsushi Inoue (NC State), “Frequentist Inference in Weakly Identified DSGE Models” (Joint with P. Guerron-Quintana and L. Kilian)
  • March 12, 2013. Eric Ghysels (NYU Stern -UNC Chapel Hill), “Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence From A New Class of Dynamic Order Boo (Joint with R. Engle, M.Fleming and G. Nguyen)
  • March 19, 2013. Sophocles Mavroeidis (Oxford), “Empirical evidence on inflation expectations in the new Keynesian Phillips curve” (Joint with M. Plagborg-Moller and J. Stock)
  • March 26, 2013. James Morley (U. New South Wales), “Likelihood-Based Confidence Sets for the Timing of Structural Breaks” (Joint with Y. Eo)
  • April 16, 2013. Majid Al-Sadoon (Univ. Pompeu Fabra), “A General Theory of Rank Testing and Estimation”
  • April 23, 2013. St. Jordi Holiday (University closed)
  • April 30, 2013. Valentina Corradi (Warwick), “Testing for optimal monetary policy via moment inequalities” (Joint with L. Coroneo and Paulo Santos Monteiro)
  • May 2, 2013. Harald Uhlig (University of Chicago), “Measuring the dynamic effects of monetary policy shocks: a bayesian favar approach with sign restriction” (Joint with P.
    Amir-Ahmadi)
  • May 28, 2013. Lutz Kilian (University of Michigan), “Inference on Impulse Response Functions in Structural VAR Models” (Joint with A. Inoue)
  • June 4, 2013. Hashem Pesaran (University of Cambridge) “Modelling Spatial Dependence with Pairwise Correlations” (Joint with N. Bailey and S. Holly)
  • June 10 and 11, 2013. “Time Series Analysis in Macro and Finance Conference” Barcelona GSE Summer Forum