Erasmus School of Economics
Erasmus School of Economics

3rd International Econometrics PhD Conference 2023

Foto van campus Woudestein

The Econometric Institute (EI) at Erasmus University Rotterdam invites PhD students specialising in Econometrics to submit a paper for the for the 3rd International Econometrics PhD Conference, which will take place on 20 and 21 November, 2023 at the Econometric Institute in Rotterdam.

Date
Monday 20 Nov 2023, 09:00 - Tuesday 21 Nov 2023, 23:59
Type
Conference
Spoken Language
English
Room
G3-41
Building
G Building
Location
Campus Woudestein
Registration Add to calendar

The aim of this two-day event is to bring together senior PhD candidates from universities around the world specialising in Econometrics to present and discuss their research. The conference provides a great opportunity to meet other high-profile PhD students, and to learn about Econometrics research conducted at different institutions.

Programme

09.30‑09.55Registration
09.55‑10.00Opening
10.00‑12.00Session 1: Forecasting and Nowcasting
 

Chair: Andreas Pick  

  1. Ignacio Crespo (Universitat Pompeu Fabra)
    'Superior Predictive Ability in Unstable Environments'
  2. Martin Fankhauser (Universita Commerciale Luigi Bocconi)
    'Conformal Tail Risk Estimation'
  3. Ekaterina Ugulava (University of Amsterdam)
    'Direct versus Iterated Cumulative Variance Forecasts: Hausman-type Specification Testing'
12.00‑13.30 Lunch
13.30‑14.50Session 2: Inference
 

Chair: Xiaomeng Zhang 

  1. Sara Boni (Free University of Bolzano)
    'Causality in Quantiles with Mixed-Frequency Data: Futures on Commodities and inflation'
  2. Joël Terschuur (Charles III University of Madrid)
    'Locally Robust Policy Learning: Inequality, Inequality of Opportunity and Intergenerational Mobility'
14.50‑15.20Coffee break
15.20‑16.40Session 3: Panel Data
 

Chair: Wendun Wang

  1. Jiaming Huang (Universitat Pompeu Fabra)
    'Quasi-Bayesian Inference for Group Panel'
  2. Víctor Sancibrián (CEMFI)
    'Micro Responses to Macro Shocks'
16.40‑18.00Drinks
18.30‑22.00Conference dinner (by invitation only)

10.00‑12.00Session 4: Financial Econometrics
 

Chair: Dick van Dijk

  1. Tjeerd de Vries (University of California San Diego)
    'A tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models'
  2.  Alan Chernoff (Rutgers University)
    'Estimating Integrated Volatility via Combination'
  3.  Gabriele Mingoli (Free University Amsterdam)
    'Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics'
12.00‑13.30Lunch
13.30‑14.50Session 5: Treatment Effect
 

Chair: Xiaomeng Zhang 

  1. Antonio Raiola (Charles III University of Madrid)
    'Chi-Squared Testing for Conditional Moment Restrictions'
  2. Johannes W. Ligtenberg (University of Groningen)
    'Inference in IV models with clustered dependence, many instruments and weak identification'
14.50‑15.20Coffee break
15.20‑16.40Session 6: Time Series Econometrics
 

Chair: Marina Khismatullina

  1. Shifan Yu (Lancaster University)
    'Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence'
  2. Daan Opschoor (Erasmus University Rotterdam)
    'Tracking Sectoral Economic Conditions'

Submit your paper

Paper submission for this conference is closed.

Registration

Registration for this conference is closed.

About the Econometric Institute

The Econometric Institute at Erasmus University Rotterdam has a strong research tradition in econometrics, statistics, data science and operations research. It is the oldest research institute in the field of econometrics in the world.
Read more

Organiser

See also

Core-stable equilibria in markers with budget constraints

Stefan Waldherr (Vrije Universiteit Amsterdam)
  • Friday 24 Jan 2025, 12:00 - 13:00
  • Seminar
Campus Woudestein in the morning.
More information

Econometric Institute

phone: +31 (0)10 408 12 59/12 64
email: eb-secr@ese.eur.nl

Compare @count study programme

  • @title

    • Duration: @duration
Compare study programmes