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)

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
Sumanta Basu (Cornell University & Maastricht University)
Penalized Quantile Regression for Large-Scale Time Series
Yi He (University of Amsterdam)
Detecting Spurious Factor Models
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
16:00 – 16:50 Poster Session + Vlaai Ad Fundum
Amir Alipoor (Tilburg University)
Computationally efficient estimation of high-dimensional macro models
Sander van Beek (University of Groningen)
Testing for unobserved heterogeneity in duration analysis using time-varying explanatory variables
Weihao Chen (Tilburg University)
Adding valid and variance-reducing controls
Simon Donker van Heel (Erasmus University Rotterdam)
Performance Guarantees for Score-Driven Filters
Haobai Guo (University of Amsterdam)
Misspecification and Weak Identification in Forward-Looking Macroeconomic Models
Paul Haimerl (Maastricht University)
Grouped Trends in the In-situ and Free-air Temperature Offset
Lucas Harlaar (Maastricht University)
Statistical Early Warning Models with Applications
Floris Holstege (University of Amsterdam)
Removing Spurious Concepts from Neural Network Representations via Joint Subspace Estimation
Stan Koobs (Erasmus University Rotterdam)
Heterogeneous variable selection in nonlinear panel data models: A semiparametric Bayesian approach
Niels Marijnen (University of Amsterdam)
Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices
Alexei Nemtyrev (Tilburg University)
Optimally smoothing local projections
Ivan Ricardo (Maastricht University)
Reduced Rank Matrix Autoregressive Models
Bernhard van der Sluis (Erasmus University Rotterdam)
Markov regime-switching panel models with grouped heterogeneity
Mingxuan Song (VU Amsterdam)
Bootstrap inference for time-varying coefficient models in nonstationary time series
Barend Spanjers (VU Amsterdam)
Modelling persistence in temperature time series
Noah Stegehuis (VU Amsterdam)
A Score-Driven Filter for Time-Varying Regression Models with Endogenous Regressors
Chang Tan (University of Groningen)
General nesting spatial panel models with spatial autoregressive or moving average errors and parameterized distance-based decay matrices
Xiaomeng Zhang (Erasmus University Rotterdam)
Asymptotic Properties of the Distributional Synthetic Controls
Xia Zou (VU Amsterdam)
Implied Volatility Surface Dynamics: from Parameter-Driven to Observation-Driven Models and Beyond
16:50 – 17:40 Session 2: Nonlinear Models Aula (H0.01)
Chair: Otilia Boldea
Christos Revelas (Tilburg University)
When does subagging work?
Eric Beutner (VU Amsterdam)
Consistency and weak convergence of observation driven filter
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
Alberto Quaini (Erasmus University Rotterdam)
Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models
Yonas Khanna (VU Amsterdam & ING Bank)
Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics
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
Eyo Herstad (Erasmus University Rotterdam)
Estimating peer effects in networks with missing links
Aico van Vuuren (University of Groningen)
Distributional regression difference-in-differences
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
Jan van den Brakel (Maastricht University & Statistics Netherlands)
Multilevel time series model for mobility trends in the Netherlands
12:50 – 13:30 Lunch Ad Fundum