The updated programme is available in PDF here.
NESG post-conference Limburg cycle tour
After the conference there will be 60km cycle tour mapped out by Arturas Juodis through the beautiful Limburg hills (only place in the Netherlands where you are really above sea-level)
https://www.strava.com/routes/3225750384361993756
Or download to your GPS device here.
Arturas is a well trained cyclist but we try to slow him down and not to ride like it’s the Amstel Gold race / Tour de France (but it will probably still go faster than a 25km electric bike).
| Friday May 24 | |||
| 12:00 – 13:20 | Registration and Lunch | Ad Fundum | |
| 13:20 – 13:25 | Opening and Welcome | Aula (H0.01) | |
| 13:25 – 14:40 | Session 1: | Time Series | Aula (H0.01) |
| Chair: | Kees Jan van Garderen | ||
| Jad Beyhum (KU Leuven) Testing for sparse idiosyncratic components in factor-augmented regression |
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| Sumanta Basu (Cornell University & Maastricht University) Penalized Quantile Regression for Large-Scale Time Series |
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| Yi He (University of Amsterdam) Detecting Spurious Factor Models |
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| 14:40 – 15:00 | Coffee Break | Ad Fundum | |
| 15:00 – 16:00 | Keynote Lecture | Aula (H0.01) | |
| Chair: | Stephan Smeekes | ||
| Michael Jansson (UC Berkeley) Average treatment effects for exchangeable random arrays |
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| 16:00 – 16:50 | Poster Session + Vlaai | Ad Fundum | |
| Amir Alipoor (Tilburg University) Computationally efficient estimation of high-dimensional macro models |
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| Sander van Beek (University of Groningen) Testing for unobserved heterogeneity in duration analysis using time-varying explanatory variables |
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| Weihao Chen (Tilburg University) Adding valid and variance-reducing controls |
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| Simon Donker van Heel (Erasmus University Rotterdam) Performance Guarantees for Score-Driven Filters |
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| Haobai Guo (University of Amsterdam) Misspecification and Weak Identification in Forward-Looking Macroeconomic Models |
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| Paul Haimerl (Maastricht University) Grouped Trends in the In-situ and Free-air Temperature Offset |
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| Lucas Harlaar (Maastricht University) Statistical Early Warning Models with Applications |
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| Floris Holstege (University of Amsterdam) Removing Spurious Concepts from Neural Network Representations via Joint Subspace Estimation |
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| Stan Koobs (Erasmus University Rotterdam) Heterogeneous variable selection in nonlinear panel data models: A semiparametric Bayesian approach |
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| Niels Marijnen (University of Amsterdam) Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices |
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| Alexei Nemtyrev (Tilburg University) Optimally smoothing local projections |
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| Ivan Ricardo (Maastricht University) Reduced Rank Matrix Autoregressive Models |
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| Bernhard van der Sluis (Erasmus University Rotterdam) Markov regime-switching panel models with grouped heterogeneity |
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| Mingxuan Song (VU Amsterdam) Bootstrap inference for time-varying coefficient models in nonstationary time series |
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| Barend Spanjers (VU Amsterdam) Modelling persistence in temperature time series |
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| Noah Stegehuis (VU Amsterdam) A Score-Driven Filter for Time-Varying Regression Models with Endogenous Regressors |
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| Chang Tan (University of Groningen) General nesting spatial panel models with spatial autoregressive or moving average errors and parameterized distance-based decay matrices |
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| Xiaomeng Zhang (Erasmus University Rotterdam) Asymptotic Properties of the Distributional Synthetic Controls |
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| Xia Zou (VU Amsterdam) Implied Volatility Surface Dynamics: from Parameter-Driven to Observation-Driven Models and Beyond |
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| 16:50 – 17:40 | Session 2: | Nonlinear Models | Aula (H0.01) |
| Chair: | Otilia Boldea | ||
| Christos Revelas (Tilburg University) When does subagging work? |
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| Eric Beutner (VU Amsterdam) Consistency and weak convergence of observation driven filter |
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| 19:00 – 22:00 | Dinner | ||
| At Restaurant Petit Bonheur, Achter de Molens 2, 6211 JC Maastricht | |||
| Route description via Google Maps | |||
| Saturday May 25 | |||
| 09:00 – 10:15 | Session 3: | Finance | Aula (H0.01) |
| Chair: | Nalan Basturk | ||
| Bart Keijsers (University of Amsterdam) Limits of parametric portfolio policies |
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| Alberto Quaini (Erasmus University Rotterdam) Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models |
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| Yonas Khanna (VU Amsterdam & ING Bank) Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics |
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| 10:15 – 10:30 | Coffee Break | Ad Fundum | |
| 10:30 – 11:45 | Session 4: | Identification and Causal Inference | Aula (H0.01) |
| Chair: | Geert Dhaene | ||
| Weining Wang (University of Groningen)) Plausible GMM via Avenue Bayes |
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| Eyo Herstad (Erasmus University Rotterdam) Estimating peer effects in networks with missing links |
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| Aico van Vuuren (University of Groningen) Distributional regression difference-in-differences |
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| 11:45 – 12:00 | Coffee Break | Ad Fundum | |
| 12:00 – 12:50 | Session 5: | Robust Structural Models | Aula (H0.01) |
| Chair: | Tom Boot | ||
| Max Welz (Erasmus University Rotterdam) Robust Estimation and Inference in Categorical Data |
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| Jan van den Brakel (Maastricht University & Statistics Netherlands) Multilevel time series model for mobility trends in the Netherlands |
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| 12:50 – 13:30 | Lunch | Ad Fundum | |