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SUMMARY:Dynamic Factor Models\, Matteo Barigozzi (Università di Bologna)
DESCRIPTION:  \n\n\n\n  \n  \nSCHEDULE\n  \nMonday\n  \n4th March 2024 \n11th March 2024\n  \nFrom 13:00 to 16:45\n  \nRoom 2033\n\n\n  \nThursday\n  \n7th March 2024\n  \nFrom 13:00 to 16:15\n  \nRoom 2033\n\n\n\nAims and objectives\nThe aim of this course is to provide an introduction to factor models in time series analysis by teaching students the basic theoretical foundations and by illustrating  them some applications to macroeconomics and finance. \nIn the last years large datasets have become increasingly available to researchers and practitioners in many disciplines. In particular\, during this big data revolution the analysis of high-dimensional time series has become one of the most active subjects of modern statistical methodology with applications in the most different areas of science including finance\, econometrics\, meteorology\, genomics\, chemometrics\, complex physics simulations\, biological and environmental research. Although the value of information is unquestionable\, the possibility of extracting meaningful and useful information out of this large amount of data is also of great importance. To achieve such dimension reduction\, several new analytical and computational techniques have been developed under the name of machine learning methods. Among these factor models not only are one of the pioneering methods in the field of unsupervised learning (dating back to Spearman\, 1904)\, but up to these days have also been one of the most popular and most employed ones. \nWe start by discussing principal component analysis as a useful dimension reduction technique for large panels of time series. This is the most simple example of factor model (the static model) which we then generalize to include all temporal relations among the considered variables (the dynamic model). We then focus on the case in which the dynamic model can be re–written as a state space model and we present its estimation via Kalman filter and the Expectation Maximization algorithm. We then consider application of these models in two fields. First\, in macroeconometrics for building indicators of the business cycle\, for nowcasting\, and for policy analysis problems. Related to these we briefly discuss how to deal with the issues of non–fundamentalness and cointegration. Second\, in financial econometrics for volatility modelling and forecasting. Related to these we briefly discuss the complementarity of factor and network models and the issue of conditional heteroskedasticity. Real–data applications taken from existing papers are discussed during the lectures. Matlab or R code will be provided. \n\n
URL:https://crest.science/event/dynamic-factor-models-matteo-barigozzi-universita-di-bologna/
LOCATION:2033
CATEGORIES:Doctoral Courses,Finance
ORGANIZER;CN="Jean-Michel%20Zakoian":MAILTO:zakoian@ensae.fr
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DTSTART;TZID=Europe/Helsinki:20240311T121500
DTEND;TZID=Europe/Helsinki:20240311T133000
DTSTAMP:20260710T232631
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LAST-MODIFIED:20240201T082338Z
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SUMMARY:Sebastian  SCHMIDT (European Central Bank) "Fiscal Backing for Price Stability in a Monetary Union"
DESCRIPTION:Macro seminar\nTime : 12h15 – 13h30 \nDate : 11 Mars 2024 \nSalle 3001 \nSebastian SCHMIDT (European Central Bank) “Fiscal Backing for Price Stability in a Monetary Union” \nAbstract: Fiscal backing is the idea that for the price level to be uniquely determined\, fiscal policy must be active (as in Leeper\, 1991) at least in some states of the world. We extend the fiscal theory of the price level to the case of a heterogenous monetary union. Different combinations of national fiscal policies and a common fiscal policy with “Eurobonds” amount to active fiscal policy for the union. They all yield price level determinacy\, but can have very different implications for the effects of fiscal and monetary policy. We propose how to coordinate\nthe national policies and the common policy to provide fiscal backing reliably.\n \nOrganizer Olivier LOISEL (CREST)  \n
URL:https://crest.science/event/sebastian-schmidt-european-central-bank-t-b-a/
CATEGORIES:Macroeconomics,Seminars
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