27th Dynamic Econometrics Conference

Day 1

Thursday 18 September
Day 2

Friday 19 September

Presentation
Registration and Coffee/Tea/Pastries
08:30 am
Presentation
Welcoming Remarks and Announcements
Scientific Organisers

09:00 am
Presentation
Climate Econometrics
Chair: Elisabetta Pellini
Presentation
Forecasting Climate Change using a Multivariate Cointegrated System
Prof. Sir David F. Hendry

09:05 am
Presentation
Offsetting the Impact of Climate Change on Food Production through Technological Adaptation
Magdalena Cornejo

09:35 am
Presentation
A Dynamic Time Series Model of Global Sea Surface Temperatures
Jennifer L. Castle

10:05 am
Presentation
Coffee/Tea Break
10:35 am
Presentation
SPEED Presentations
Chair: Neil R. Ericsson

11:00 am
Presentation
Are Hysteresis Effects Nonlinear?
Omar Pietro Carnevale
Presentation
Timing the Factor Zoo: Explosive Behaviour Beyond Momentum
Zhuangyan Li
Presentation
Re(Visiting) Large Language Models in Finance
Eghbal Rahimikia
Presentation
Managing Uncertainty: A Time-varying Fiscal Framework for Probabilistic Debt Sustainability in High-debt Countries
Sehrish Ghayas
Presentation
Predicting Provincial Economic Activity in Saudi Arabia: The Case of the Eastern Province
Fakhri Hasanov
Presentation
Who Value ESG More: Retail or Institutional Investors?
Chaojie (Jay) Liu
Presentation
Carbon Tax with Income Subsidies: GDP as an Inferior Good
Jim Stodder
Presentation
Lunch
12:30 pm
Presentation
Ana Timberlake Memorial Lecture
Chair: Giovanni Urga
Presentation
Dynamics, Numbers, and Narratives in the History of Economics
Mary S. Morgan

14:00 pm
Presentation
Modelling Financial Processes
Chair: Sébastien Laurent
Presentation
Forecasting Intraday Volatility and Densities using Deep Learning
Pedro L. Valls Pereira

15:00 pm
Presentation
Penalized QMLE and Model Selection of Time Series Regressions
Sébastien Laurent

15:30 pm
Presentation
Coffee/Tea Break
16:00 pm
Presentation
Round Table with OxMetrics Developers
Jurgen A. Doornik, Sébastien Laurent, Siem Jan Koopman

16:30 pm
Presentation
Reception and Conference Dinner
17:30 pm

Presentation
Coffee/Tea/Pastries
08:30 am
Presentation
Announcements
Giovanni Urga, Neil R. Ericsson

09:00 am
Presentation
Structural Breaks and Counterfactuals
Chair: Bilal Sali
Presentation
Improving Empirical Models and Forecasts With Saturation-based Machine Learning
Neil R. Ericsson

09:05 am
Presentation
Econometric Modelling of Public Health and the Economy: COVID-19 in Norway
Amund H. Kordt

09:35 am
Presentation
Constructing Counterfactuals from Cointegrating Relationships
Bilal Sali

10:05 am
Presentation
Coffee/Tea Break
10:35 am
Presentation
Methodology
Chair: Daniel Buncic
Presentation
On Panel Data Modeling and Inference: Fixed vs. Random Effects and the Dispute between Mundlak and Nerlove
Aris Spanos

11:00 am
Presentation
From Rotational to Scalar Invariance: Enhancing Identifiability in Score-driven Factor Models
Emilija Dzuverovic

11:30 am
Presentation
Recovering Stars in Macroeconomics
Daniel Buncic

12:00 pm
Presentation
Lunch
12:30 pm
Presentation
Business Cycles and Structural Change
Chair: Håvard Hungnes
Presentation
Evidence for Brazil
Emerson Fernandes Marçal

14:00 pm
Presentation
Decomposing the Output Gap: Univariate and Multivariate Hodrick–Prescott Filter with Extreme Observations
Håvard Hungnes

14:30 pm
Presentation
Predictive Accuracy
Chair: Jack Foster
Presentation
Robust Tests for Factor-augmented Regressions with an Application to the Novel EA-MD Dataset
Alessandro Morico

15:00 pm
Presentation
Sparsity Tests for High-dimensional Linear Regression Models in Time Series
Jack Fosten

15:30 pm
Presentation
Coffee/Tea Break
16:00 pm
Presentation
Monetary Policy
Chair: Giovanni Urga
Presentation
Sequential Monitoring For the U.S. Monetary Transmission to Global Financial Stability
Cindy S.H. Wang

16:30 pm
Presentation
Multiscale Comparison of Nonparametric Trending Coefficients
Marina Khismatullina

17:00 pm
Presentation
Augmented Taylor Rule Estimation and Implications for Monetary Policy
Giovanni Urga

17:30 pm
Presentation
Closing Remarks
Conference Organisers

18:00 pm

Name	Descrição	Lifetime
ADD_TO_CART	(Adobe Commerce only) Used by Google Tag Manager	1 Year
GUEST-VIEW	Stores the Order ID that guest shoppers use to retrieve their order status. Guest orders view. Used in Orders and Returns widgets	1 Year
LOGIN_REDIRECT	Preserves the destination page that was loading before the customer was directed to log in	1 Year
MAGE-BANNERS-CACHE-STORAGE	(Adobe Commerce only) Stores banner content locally to improve performance	1 Year
MAGE-MESSAGES	Tracks error messages and other notifications that are shown to the user	1 Year
MAGE-TRANSLATION-STORAGE	Stores translated content when requested by the shopper	1 Year
MAGE-TRANSLATION-FILE-VERSION	Tracks the version of translations in local storage	1 Year
PRODUCT_DATA_STORAGE	Stores configuration for product data related to Recently Viewed/Compared Products	1 Year
RECENTLY_COMPARED_PRODUCT	Stores product IDs of recently compared products	1 Year
RECENTLY_COMPARED_PRODUCT_PREVIOUS	Stores product IDs of previously compared products for easy navigation	1 Year
RECENTLY_VIEWED_PRODUCT	Stores product IDs of recently viewed products for easy navigation	1 Year
RECENTLY_VIEWED_PRODUCT_PREVIOUS	Stores product IDs of recently previously viewed products for easy navigation	1 Year
REMOVE_FROM_CART	(Adobe Commerce only) Used by Google Tag Manager	1 Year
STF	Records the time messages are sent by the SendFriend	1 Year
X-MAGENTO-VARY	Configuration setting that improves performance when using Varnish static content caching	1 Year
FORM_KEY	A security measure that appends a random string to all form submissions to protect the data from Cross-Site Request Forgery	1 Year
MAGE-CACHE-SESSID	The value of this cookie triggers the cleanup of local cache storage	1 Year
MAGE-CACHE-STORAGE	Local storage of visitor-specific content that enables ecommerce functions	1 Year
MAGE-CACHE-STORAGE-SECTION-INVALIDATION	Forces local storage of specific content sections that should be invalidated	1 Year
PERSISTENT_SHOPPING_CART	Stores the key (ID) of persistent cart to make it possible to restore the cart for an anonymous shopper	1 Year
PRIVATE_CONTENT_VERSION	Appends a random, unique number and time to pages with customer content to prevent them from being cached on the server	1 Year
SECTION_DATA_IDS	Stores customer-specific information related to shopper-initiated actions, such as wish list display and checkout information	1 Year
STORE	Tracks the specific store view/locale selected by the shopper	1 Year

Name

Descrição

ADD_TO_CART

(Adobe Commerce only) Used by Google Tag Manager

1 Year

GUEST-VIEW

Stores the Order ID that guest shoppers use to retrieve their order status. Guest orders view. Used in Orders and Returns widgets

1 Year

LOGIN_REDIRECT

Preserves the destination page that was loading before the customer was directed to log in

1 Year

MAGE-BANNERS-CACHE-STORAGE

(Adobe Commerce only) Stores banner content locally to improve performance

1 Year

MAGE-MESSAGES

Tracks error messages and other notifications that are shown to the user

1 Year

MAGE-TRANSLATION-STORAGE

Stores translated content when requested by the shopper

1 Year

MAGE-TRANSLATION-FILE-VERSION

Tracks the version of translations in local storage

1 Year

PRODUCT_DATA_STORAGE

Stores configuration for product data related to Recently Viewed/Compared Products

1 Year

RECENTLY_COMPARED_PRODUCT

Stores product IDs of recently compared products

1 Year

RECENTLY_COMPARED_PRODUCT_PREVIOUS

Stores product IDs of previously compared products for easy navigation

1 Year

RECENTLY_VIEWED_PRODUCT

Stores product IDs of recently viewed products for easy navigation

1 Year

RECENTLY_VIEWED_PRODUCT_PREVIOUS

Stores product IDs of recently previously viewed products for easy navigation

1 Year

REMOVE_FROM_CART

(Adobe Commerce only) Used by Google Tag Manager

1 Year

STF

Records the time messages are sent by the SendFriend

1 Year

X-MAGENTO-VARY

Configuration setting that improves performance when using Varnish static content caching

1 Year

FORM_KEY

A security measure that appends a random string to all form submissions to protect the data from Cross-Site Request Forgery

1 Year

MAGE-CACHE-SESSID

The value of this cookie triggers the cleanup of local cache storage

1 Year

MAGE-CACHE-STORAGE

Local storage of visitor-specific content that enables ecommerce functions

1 Year

MAGE-CACHE-STORAGE-SECTION-INVALIDATION

Forces local storage of specific content sections that should be invalidated

1 Year

PERSISTENT_SHOPPING_CART

Stores the key (ID) of persistent cart to make it possible to restore the cart for an anonymous shopper

1 Year

PRIVATE_CONTENT_VERSION

Appends a random, unique number and time to pages with customer content to prevent them from being cached on the server

1 Year

SECTION_DATA_IDS

Stores customer-specific information related to shopper-initiated actions, such as wish list display and checkout information

1 Year

STORE

Tracks the specific store view/locale selected by the shopper

1 Year

Name	Descrição	Lifetime
CUSTOMER_SEGMENT_IDS	Stores your Customer Segment ID	1 Year
EXTERNAL_NO_CACHE	A flag that, indicates whether caching is on or off	1 Year
FRONTEND	Your session ID on the server	1 Year
GUEST-VIEW	Allows guests to edit their orders	1 Year
LAST_CATEGORY	The last category you visited	1 Year
LAST_PRODUCT	The last product you looked at	1 Year
NEWMESSAGE	Indicates whether a new message has been received	1 Year
NO_CACHE	Indicates whether it is allowed to use cache	1 Year

Name	Descrição	Lifetime
MG_DNT	Allows you to restrict Adobe Commerce data collection if you have custom code to manage cookie consent on your site	1 Year
USER_ALLOWED_SAVE_COOKIE	Used for cookie restriction mode	1 Year
AUTHENTICATION_FLAG	Indicates if a shopper has signed in or signed out	1 Year
DATASERVICES_CUSTOMER_ID	Indicates if a shopper has signed in or signed out	1 Year
DATASERVICES_CUSTOMER_GROUP	Indicates a customer's group. This cookie is stored as sha1 checksum of the customer's group ID	1 Year
DATASERVICES_CART_ID	Identifies a shopper's cart actions	1 Year
DATASERVICES_PRODUCT_CONTEXT	Identifies a shopper's product interactions. This cookie contains the customer's unique quote ID in the system	1 Year

Uma introdução aos dados em painel de séries temporais

Webinars, workshops e conferências

27th Dynamic Econometrics Conference

Privacy Overview

Uma introdução aos dados em painel de séries temporais

Webinars, workshops e conferências

27th Dynamic Econometrics Conference

Privacy Overview

Essential

Marketing

Functionality

Statistical