3rd Italian Workshop of Econometrics and Empirical

Economics High-dimensional and Multivariate Econometrics: Theory and Practice

Rimini Campus - University of Bologna

20-21 January 2022



**Thursday, 20 January 2022

11.30-12.30    SIdE members meeting

12.30               Registration opens

13.45-14.00    Opening  Monica Billio (SIdE president), Luca Fanelli (chair of organizing committee)



14.00- 15.30 : Parallel sessions – 1

Parallel 1-A – Energy – sponsored by SGR (chair: Francesco Ravazzolo)

  • When Do Investors Go Green? Evidence from a Time-varying Asset-pricing Model  - Lucia Alessi, Elisa Ossola, Roberto Panzica 
  • Forecasting Commodity Prices in a Data-rich Unstable Environment  - Anastasia Allayioti, Fabrizio Venditti
  • Short-Term Hydropower Optimization Driven by Innovative Time-adapting Econometric Model - Diego Avesani, Ariele Zanfei, Nicola Di Marco, Andrea Galletti, Francesco Ravazzolo, Maurizio Righetti, Bruno Majone


Parallel 1-B – Networks 1 (chair: Camilla Mastromarco)

  • FNETS: Factor-adjusted Network Estimation and Forecasting for High-dimensional Time Series  - Matteo Barigozzi, Haeran Cho, Dom Owens
  • Learning Financial Network with Focally Sparse Structure -  Victor Chernozhukov, Chen Huang, Weining Wang 
  • Efficiency Networks in EU: An Heterogeneous Spatial Autoregressive Frontier Model -  Camilla Mastromarco, Laura Serlenga, Yongcheol Shin


Parallel 1-C – Econometric theory 1 (chair: Giuseppe Cavaliere)

  • Testing Many Restrictions Under Heteroskedasticity  - Stanislav Anatolyev, Mikkel Sølvsten
  • Inference in a Spatial Autoregressive Model with an Extended Coefficient Range and a Similarity-based Weight Matrix  - Francesca Rossi, Offer Lieberman
  • Bootstrap Inference in the Presence of Asymptotic Bias -  Giuseppe Cavaliere, Sílvia Gonçalves, Morten Ørregaard Nielsen


15:30-16.30     Poster session 1 - coffee break


16.30-17.30  Econometric Theory lecture (chair: Matteo Barigozzi)

                     Alexei Onatski

                    Uniform Asymptotics for Strong and Weak Factors


15:45-19.15     Parallel session 2


Parallel 2-A – Networks 2 (chair: Michele Costola)

  • Identifying Dominant Units Using Graphical Models in Panel Time Series Data  - Jan Ditzen, Francesco Ravazzolo 
  • A Dynamic Stochastic Block Model for Multi-Layer Networks -  Ovielt Baltodano Lopeź, Roberto Casarin 
  • Matrix-variate Smooth Transition Models for Temporal Networks  - Monica Billio, Roberto Casarin, Michele Costola, Matteo Iacopini


Parallel 2-B – Vector Autoregressions (chair: Lorenzo Mori)

  • Partially Identified Heteroskedastic SVARs: Identification and Inference -  Emanuele Bacchiocchi, Andrea Bastianin, Toru Kitagawa, Elisabetta Mirto
  • State-dependent Impulse Response Functions: Identification and Estimation  - Sílvia Gonçalves, Ana María Herrera, Lutz Kilian, Elena Pesavento 
  • Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens -  Efrem Castelnuovo, Lorenzo Mori


Parallel 2-C – Financial econometrics (chair: Jean-Michel Zakoïan)

  • Estimating Financial Networks by Realized Interdependencies: A Restricted Vector Autoregressive Approach -  Massimiliano Caporin, Deniz Erdemlioglu, Stefano Nasini
  • Financial Stability in Europe Under Climate Transition Distress. A Scenario-based Systemic Risk Approach  - Javier Ojea-Ferreiro, Juan C. Reboredo, Andrea Ugolini
  • Estimating conditional systemic risk measures in semi-parametric volatility models -  Loïc Cantin, Christian Francq, Jean-Michel Zakoïan


20:30     Social Dinner at Quartopiano Suite Restaurant


**  Friday, 21 January 2022


9.00- 11.00 Parallel session 3

Parallel 3-A – Non-linear time series (chair: Emanuele Bacchiocchi)

  • Identification of Nonlinear Time Series Models with Additive Noise -  Francesco Cordoni, Nicolas Doremus, Alessio Moneta
  • Sectoral Uncertainty  - Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda
  • Monetary Policy Shocks over the Business Cycle: Extending the Smooth Transition Framework  - Martin Bruns, Michele Piffer
  • SVARs with Breaks: Identification and Inference  - Emanuele Bacchiocchi, Toru Kitagawa


Parallel 3-B – Filtering (chair: Alessandro Giovannelli)

  • Three States of the French Business Cycle  - Catherine Doz, Anna Petronevich 
  • GDP Solera. The Ideal Vintage Mix  - Martín Almuzara, Dante Amengual, Gabriele Fiorentini, Enrique Sentana
  • Using Industry-Level Data to Estimate the U.S. Output Gap  - Gianni Amisano, Philip Coyle, Manuel González-Astudillo
  • Band-Pass Filtering in the Time Domain: Empirical Evidence on U.S. GDP  - Alessandro Giovannelli, Marco Lippi, Tommaso Proietti


Parallel 3-C – Statistical learning in microeconomics (chair: Silvia Sarpietro)

  • Policy Evaluation of Waste Pricing Programs Using Heterogeneous Causal Effect Estimation  - Marica Valente 
  • A Generalised ROC Curve  -  Paolo Giudici, Emanuela Raffinetti
  • Trends in the U.S. Gender Wage Gap: 1977–2019 -  Vidhi Gandotra, Andrew Komendantov, Andrea Medici, Karan Patel, Franco Peracchi
  • Individual Forecast Selection -   Raffaella Giacomini, Sokbae Lee, Silvia Sarpietro


11.00-11.30 Coffee break


11.30-13.00 Parallel session 4


Parallel 4-A – Factor models (chair: Gianluca Cubadda)

  • Dynamic Factor Models: Does the Specification Matter?  - Karen Miranda, Pilar Poncela, Esther Ruiz
  • The Main Cycle Shock(s), Frequency-Band Estimation of the Number of Dynamic Factors  - Marco Avarucci, Maddalena Cavicchioli, Mario Forni, Paolo Zaffaroni
  • Dimension Reduction for High Dimensional Vector Autoregressive Models  - Gianluca Cubadda, Alain Hecq


Parallel 4-B – Econometric theory 2 (chair: Alessandra Luati)

  • Bootstrap Inference for Hawkes and General Point Processes  - Giuseppe Cavaliere, Ye Lu, Anders Rahbek, Jacob Stærk-Østergaard 
  • Autoregressive Conditional Betas  - Francisco Blasques, Christian Francq, Sebastień Laurent 
  • Dynamic Multiple Quantile Models -  Leopoldo Catania, Alessandra Luati, Emil Bach Mikkelsen


Parallel 4-C – Unit roots (chair: Paolo Paruolo)

  • Generic Identifiability for REMIS: The Unit Root VAR-Case  - Philipp Gersing, Leopold Sögner, Manfred Deistler 
  • High-dimensional Threshold Regression with Common Stochastic Trends -  Daniele Massacci, Lorenzo Trapani 
  • Cointegration, Root Functions and Minimal Bases  - Massimo Franchi, Paolo Paruolo 


13.00-14.30 Poster session 2 - lunch


 14.30- 15.30  Keynote lecture (chair: Giuseppe Cavaliere)

                     Serena Ng  - Richard Davis

                     Time Series Estimation of the Dynamic Effects of Disaster Type Shocks


15.45-17.15 Parallel session 5

Parallel 5-A – Econometric theory 3 (chair: Massimo Franchi)

  • Circumventing Violations of Stochastic Equicontinuity in M-estimation - Mario Martinoli, Fulvio Corsi, Raffaello Seri 
  • Performance of Empirical Risk Minimization for Linear Regression with Dependent Data  - Christian Brownlees, Guðmundur Stefań Guðmundsson 
  • The Resolution and Representation of Time Series in Banach Space -  Amie Albrecht, Konstantin Avrachenkov, Brendan K. Beare, John Boland, Massimo Franchi, Phil Howlett


Parallel 5-B – Macroeconometrics (chair: Antonio Conti)

  • How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area  - Michele Lenza, Jiri Slacalek
  • Fiscal Limits and the Pricing of Eurobonds -  Kevin Pallara, Jean-Paul Renne
  • The Wage-employment Nexus: A Tale of Persistence  - Antonio Conti, Elisa Guglielminetti, Marianna Riggi


Parallel 5-C – Bayesian inference (chair: Matteo Iacopini)

  • Score-Driven Generalized Poisson Model - Giulia Carallo, Roberto Casarin, Dario Palumbo
  • MCMC Conditional Maximum Likelihood for the Two-way Fixed-effects Logit  - Francesco Bartolucci, Claudia Pigini, Francesco Valentini
  • Bayesian Semiparametric Estimation of Structural VAR Models with Stochastic Volatility  - Matteo Iacopini, Luca Rossini


** Poster sessions


Poster session 1

A Multivariate Extension of the Misspecification Resistant Information Criterion  - Gery Andreś Díaz Rubio, Simone Giannerini, Greta Goracci

Demand or Supply? An Empirical Exploration of the Effects of Climate Change on the Macroeconomy  - Matteo Ciccarelli, Fulvia Marotta

Hierarchical Bayesian Fuzzy Clustering Approach for High Dimensional Linear Time-Series -  Antonio Pacifico

Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework  - Dario Palumbo

Measuring Unobserved Judgment -  Emilio Zanetti Chini


Poster session 2

Identification of Non-Rational Risk Shocks -  Maximilan Böck

Is Global Warming (Time) Reversible?  - Francesco Giancaterini, Alain Hecq, Claudio Morana

Investor Sentiment and Global Economic Conditions  - Miguel C. Herculano, Eva Lutkebohmerẗ

Costly Independence? The Unintended Effects of the ECB’s Government Bond Purchases  - Armando Marozzi

A Factor-augmented Autoregression for Multilayer Networks -  Matteo Barigozzi, Giuseppe Cavaliere, Graziano Moramarco

A Multivariate ARCH(∞) Model with Exogenous Variables and Dynamic Conditional Betas  - Christian Francq, Julien Royer, Jean-Michel Zakoïan