Workshop

Dimensionality Reduction and Inference in High-Dimensional Time Series

Maastricht University, 2-3 June 2020

On June 2-3, 2020, the Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series will be organized at Maastricht University (Maastricht, the Netherlands).

This two-day workshop aims to provide a platform for exchanging and discussing the latest developments in econometrics and statistics on topics related to dimensionality reduction and inference in high-dimensional time series, including (but not limited to) issues related to post-selection inference, statistical learning, penalized regression methods, factor models and common features.

We hereby invite submissions to the contributed and poster sessions. Both theoretical papers and applied econometric papers are invited.

Invited lectures will be given by Matteo Barigozzi (University of Bologna), Anders Bredahl Kock (University of Oxford), Siem Jan Koopman (VU Amsterdam) and Marcelo Medeiros (Pontifical Catholic University of Rio de Janeiro).