ECMFE Workshop: High-dimensional Econometrics and Machine Learning

10:15 ‐ 10:45am

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

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

In EBS.2.66

12:15 ‐ 1:15pm

Lunch break (EBS 2.66)

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

In EBS.2.66

3:30 ‐ 4:00pm

Tea and coffee break in EBS.2.66

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).

In EBS.2.34

5:30 ‐ 6:30pm

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

By invitation only

6.30pm

Wivenhoe House Hotel - Garden Suite