Conference on New Trends and Developments in Econometrics

The complex environment in which banks nowadays operate, the complexity of financial instruments, the functioning of markets and institutions, and the important challenges central banks have to face require adequate analytical tools for analysis.
This conference will focus on new developments and assessment of econometric methods for use in banking, finance, macroeconomics and microeconomics.
The scope of this year’s conference focuses on, but is not limited to, research in modelling and prediction methods for banking and finance, machine learning, and panel data methods.
Questions about arrangements should be addressed to Maria Soledade Sartóris (conferences@bportugal.pt).
Friday, July 1, 2022 | |
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9.15 - 9.30 | Welcome |
Session 1 | Chair: Paulo Rodrigues (Banco de Portugal and Nova SBE) |
9:30 - 10:20 | Inference for Dependent Data with Learned Clusters Damian Kozbur (University of Zurich) |
10:20 - 11:10 | Expecting the unexpected: Economic growth under stress Esther Ruiz (Universidad Carlos III Madrid) |
11.10 – 11.30 | Coffee Break |
Session 2 | Chair: Paulo Guimarães (Banco de Portugal) |
11:30 - 12:20 | Bootstrap inference for fixed-effect models Koen Jochmans (Toulouse School of Economics) |
12:20 - 13:10 | Dynamic Panel Data: A Functional Viewpoint Stephane Bonhomme (University of Chicago) |
13.10 – 14.30 | Lunch |
Session 3 | Chair: Hugo Reis (Banco de Portugal and Católica Lisbon SBE) |
14:30 - 15:20 | Firm size, volatility, and business cycles Carlos Daniel Rodrigues A. Santos (Nova SBE) |
15:20 - 16:10 | Heterogeneity and duration dependence in price inertia: A simple nonlinear fixed effect estimator Pedro Portugal (Banco de Portugal and Nova SBE) |
16.10 – 16.30 | Coffee Break |
Session 4 | |
16:30 - 17:20 | A New Parametrization of Correlation Matrices Peter Reinhard Hansen (University of North Carolina) |
Saturday, July 2, 2022 | |
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Session 5 | Chair: Paulo Rodrigues (Banco de Portugal and Nova SBE) |
9:30 - 10:20 | Measuring wage inequality under right censoring Pedro Raposo (Católica Lisbon SBE) |
10:20 - 11:10 | Spectral Decomposition of the Information about latent variables in dynamic macroeconomic models Nikolay Ivanov Iskrev (Banco de Portugal) |
11.10 – 11.30 | Coffee Break |
Session 6 | Chair: Paulo Rodrigues (Banco de Portugal and Nova SBE) |
11:30 - 12:20 | Bootstrap Methods for Impulse Responses Obtained by Local Projections Adriana Cornea-Madeira (University of York) |
12:20 - 13:10 | When do state-dependent local projections work? Sílvia Gonçalves (McGill University) |
13.10 – 14.30 | Lunch |
Stephane Bonhomme (University of Chicago)
Adriana Cornea-Madeira (University of York)
Silvia Gonçalves (McGill University)
Paulo Guimarães (Banco de Portugal)
Peter Reinhard Hansen (University of North Carolina)
Nikolay Iskrev (Banco de Portugal)
Koen Jochmans (Toulouse School of Economics)
Damian Kozbur (University of Zurich)
Pedro Portugal (Banco de Portugal and NOVA SBE)
Hugo Reis (Banco de Portugal and Católica Lisbon SBE)
Pedro Raposo (Católica Lisbon SBE)
Paulo Rodrigues (Banco de Portugal and NOVA SBE)
Esther Ruiz (Universidad Carlos III Madrid)
Carlos Daniel Rodrigues A. Santos (NOVA SBE)