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	Description	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

Description

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	Description	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	Description	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

27th Dynamic Econometrics Conference

Privacy Overview

Uma introdução aos dados em painel de séries temporais

27th Dynamic Econometrics Conference

Privacy Overview

Essential

Marketing

Functionality

Statistical