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Conference on New Trends and Developments in Econometrics

Conference on New Trends and Developments in Econometrics
01 Jul. 2022 to 02 Jul. 2022
09.00 - 18.00
The Banco de Portugal is organizing its 3rd Conference on New Trends and Developments in Econometrics. The conference will be held in Ponta Delgada, Azores, on the 1st and 2nd (morning) of July, 2022, and the conference venue is Grand Hotel Açores Atlântico.

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).

Programme
Friday, July 1, 2022
9.15 - 9.30Welcome
Session 1Chair: 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 – 11.30Coffee Break
Session 2Chair: 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 – 14.30Lunch
Session 3Chair: 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 – 16.30Coffee Break
Session 4 
16:30 - 17:20

A New Parametrization of Correlation Matrices

Peter Reinhard Hansen (University of North Carolina)

 

Saturday, July 2, 2022
Session 5Chair: 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 – 11.30Coffee Break
Session 6Chair: 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 – 14.30Lunch
Participants

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)

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