Program for Thursday, May 29th: Talk View

PROGRAM FOR THURSDAY, MAY 29TH: TALK VIEW

Days:

next day

all days

View: with abstracts session overview

14:00

14:30

15:00

15:30

16:00

16:30

17:00

17:30

18:00

14:00-14:25

Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary

Lorenzo Tonni, Matteo Barigozzi, Claudio Lissona

14:25-14:50

Piecing the puzzle: real exchange rates and long-run fundamentals

Nicolò Maffei Faccioli, Hilde Christiane Bjørnland, Leif Brubakk

14:50-15:15

Online Monitoring of Policy Optimality

Bjarni Einarsson

15:15-15:40

Cast out the pure? Inflation and relative prices on both sides of the Atlantic

Chiara Osbat, Emanuele Franceschi, Miles Parker

14:00-14:25

Inference on the cointegration and the attractor spaces via functional approximation

Massimo Franchi, Paolo Paruolo

14:25-14:50

Common Trends and Long-Run Identification in Nonlinear Structural VARs

James Duffy, Sophocles Mavroeidis

14:50-15:15

Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and

Francisco Blasques, Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman

15:15-15:40

Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial

Martin Wagner, Timothy Vogelsang

14:00-14:25

Identifying Causal Effects of Discrete, Ordered and Continuous Treatments using Multiple Instrumental

Nadja van'T Hoff

14:25-14:50

A Local Differencing Test for the Credibility of Selection-on-Observables

Riccardo Di Francesco, Franco Peracchi

14:50-15:15

A Test for Bayesian-Nash Behavior in Binary Games with Incomplete Information and Correlated Types

Elia Lapenta, Pascal Lavergne

14:00-14:25

Quantile Granger Causality in the Presence of Instability

Alexander Mayer, Dominik Wied, Victor Troster

14:25-14:50

Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

Mirko Armillotta, Paolo Gorgi

14:50-15:15

Inference on breaks in weak location time series models with quasi-Fisher scores

Christian Francq, Lorenzo Trapani, Jean-Michel Zakoian

14:00-14:25

Probabilistic Partial Least Squares

Miguel Herculano, Santiago Montoya-Blandon

14:25-14:50

Locally Robust Estimation of the Intergenerational Elasticity

Alejandro Puerta-Cuartas

14:50-15:15

Double Machine Learning for Static Panel Data with Instrumental Variables: New Method and

Annalivia Polselli, Anna Baiardi, Paul Clarke, Andrea Naghi

14:00-14:25

Inference with Local Projections

Katerina Petrova

14:25-14:50

Functional Linear Projection and Impulse Response Analysis

Won-Ki Seo, Dakyung Seong

14:50-15:15

Nonparametric Local Projections

Elena Pesavento, Silvia Goncalves, Ana Maria Herrera, Lutz Kilian

15:40-16:40

Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component

Cong Wang

Fiscal Shocks and the Surge of Inflation

Lorenzo Mori

Testing Conditional Moment Restrictions: A Partitioning Approach

Antonio Raiola

It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle

Marco Mazzali, Davide Brignone

Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs

G. Cavaliere, S. Gonçalves, M.�. Nielsen, E. Zanelli

Partially Identified Rankings from Pairwise Interactions}

Federico Crippa, Danil Fedchenko

Distributional Difference-in-Differences with Multiple Time Periods

Andrea Ciaccio

Climate and Macroeconomic Variability

Marco Tibullo, Fulvia Marotta, Leonardo Ferreira

Are Hysteresis Effects Nonlinear?

Omar Pietro Carnevale, Damiano Di Francesco

16:40-17:05

Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition

Alain Guay, Dalibor Stevanovic

17:05-17:30

Bayesian Inference for Heteroskedastic Proxy-SVARs

Tommaso Tornese, Andrea Carriero, Todd Clark, Massimiliano Marcellino

17:30-17:55

Generalised External-Instrument SVAR Analysis

Mario Forni, Luca Gambetti, Giovanni Ricco

17:55-18:20

A test of exogeneity in Structural Vector Autoregressions with external instruments

Luca Fanelli, Giuseppe Cavaliere, Giovanni Angelini

16:40-17:05

Change-Point Detection in Time Series Using Mixed Integer Programming

Anton Skrobotov, Artem Prokhorov, Alexander Semenov, Peter Radchenko

17:05-17:30

A Matrix-valued model with Time-varying Volatility

Federico Carlini, Matteo Iacopini, Paolo Santucci de Magistris

17:30-17:55

Sequential Monte Carlo for Noncausal Processes

Gianluca Cubadda, Francesco Giancaterini, Stefano Grassi

17:55-18:20

First-order integer-valued autoregressive processes with Generalized Katz innovations

Roberto Casarin, Federico Bassetti, Giulia Carallo, Ovielt Baltodano

16:40-17:05

Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape

Enzo D'Innocenzo, Andé Lucas, Bernd Schwaab, Xin Zhang

17:05-17:30

Asset pricing models with downside risk

Elisa Ossola, Lorenzo Trapani

17:30-17:55

Estimation risk in conditional expectiles

Marcelo Fernandes, Victor Henriques de Oliveira, Eduardo Mendes

17:55-18:20

Dynamic tail risk forecasting: what do realized skewness and kurtosis add?

Giampiero M. Gallo, Ostap Okhrin, Giuseppe Storti

16:40-17:05

Adaptive combinations of tail-risk forecasts

Alessandra Amendola, Giuseppe Storti, Vincenzo Candila, Antonio Naimoli

17:05-17:30

The Hedged Random Forest

Michael Wolf, Elliot Beck, Damian Kozbur

17:30-17:55

The judgmental strategy of professional forecasters

Emilio Zanetti Chini

17:55-18:20

Nowcasting with Mixed Frequency Data Using Gaussian Processes

Massimiliano Marcellino

16:40-17:05

The Local Job Multipliers of Green Re-industrialization

Federico Fabio Frattini, Francesco Vona, Filippo Bontadini, Italo Colantone

17:05-17:30

Prenatal Sex Detection Technology and Mothers’ Labour Supply in India

Chiara Dal Bianco, Guglielmo Weber, Marco Bertoni, Isha Gupta

17:30-17:55

Work-from-Home Job Creation as a Health-Risk Mitigation Strategy: Firm-Level Evidence from the COVID-19

Agata Maida, Massimiliano Bratti, Alessandro Corvasce

17:55-18:20

The Effect of Temporary Employment on Labour Market Outcomes

Sergiu Burlacu, Daniela Piazzalunga, Enrico Rettore

16:40-17:05

The Identification Problem for Linear Rational Expectations Models

Majid Al Sadoon, Piotr Zwiernik

17:05-17:30

Estimating Heterogeneous DSGE Models

Stefano Grassi, Marco Lorusso, Francesco Ravazzolo

17:30-17:55

Causality versus Serial Correlation: an Asymmetric Portmanteau Test

Amedeo Andriollo

17:55-18:20

The information matrix test for Markov switching autoregressive models with covariate-dependent transition

Dante Amengual, Gabriele Fiorentini, Enrique Sentana

15:40-16:40 Coffee Break