The Italian Econometric Society (SIdE) in collaboration with the Venice centre in Economic and Risk Analytics for Public Policies (VERA) Ca’ Foscari University of Venice organizes the course for PhD students in:
Networks Econometrics
THE COURSE IS DELIVERED IN ONLINE MODE.
28 June - 3 July 2021
Coordinator
Roberto Casarin
Dept. of Economics
University Ca' Foscari of Venice
San Giobbe 873/b
30121 Venezia, Italy
Phone: +39 041.234.91.49
E-mail: r.casarin@unive.it
Lecturers
Monica Billio, Ca' Foscari University of Venice
Roberto Casarin, Ca' Foscari University of Venice
Matteo Iacopini, Scuola Normale Superiore, Pisa
Sergio Petralia, Utrecht University and London School of Economics and Political Science
Luca Rossini, Queen Mary University of London
Requirements
Intermediate knowledge of statistical inference and econometrics
Description
The aim of the course is to provide the fundamentals of the econometrics network with particular reference to the Network mapping and visualisation, the Network Extraction Methods, Multi-layer Network Models and their applications to finance. The tutorials will develop applications to stocks, interest rates and commodities markets and to contagion analysis. Modelling of financial and commercial trade networks will be considered as well.
Course outline
1. Graph Theoretic Foundation of Networks
1.1 Definitions
1.2 Graph Connectivity
1.3 Multilayer-networks
Tutorial 1: Data scraping, Interactive geo mapping with R
Tutorial 2: Network mapping and visualisation with R
Tutorial 3: Text mining and Networks with R
2. Network Extraction Methods
2.1 Graphical Models
2.3 Parametric sparse regression models
2.4 Nonparametric sparse regression models
Tutorial 4: Extraction of Financial Networks in Matlab
Tutorial 5: Network visualization with Gephi
3. Temporal Network Models
3.1 Tensor decomposition
3.1 Dynamic Tensor Models
3.2 Markov-switching Tensor Models
Tutorial 6: Appliction to COMTRADE and Financial Networks in Matlab
4. Multi-layer Network Models
4.1 Definition and analysis
4.2 Exctraction
Tutorial 7: Application to Oil Linkages Networks in Matlab
5. High-Dimensional Network Inference
5.1 Gaussian graphical model
5.2 Regularized inference for a Gaussian graphical model
Tutorial 8: Graphical lasso
Tutorial 9: Network inference under missing data and with covariate
Tutorial 10: Gaussian Copula graphical models
Tutorials
Theoretical lectures are associated with working sessions; during them you will receive the suggestions needed to use an econometric software and to run your own empirical analysis. Data-sets and programming files to make applied econometrics will be provided during the lectures. For the practical tutorials and applications participants will use the softwares R, Matlab and Gephi, which will have to be installed on their own laptops.
Reference textbooks and suggested readings:
Introductory references
Jackson, M.O. (2008) Social and Economic Networks, Priceton University Press.
Diebold, F. and Yilmaz, K. (2015), Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press.
Bollobas, B. (1998), Modern Graph Theory, Springer.
Further references
Jensen, F. (1996), An Introduction to Bayesian Networks, Springer-Verlag
Lauritzen, S. (1996). Graphical Models, Oxford University Press
Pearl, J. (1998). Probabilistic Reasoning in Intelligent Systems: Networks of Plausible Inference.
Whittaker, H. (1990). Graphical Models in Applied Multivariate Statistics, John Wiley.
Venue and timetables
The Course requires full-time attendance, and participation is not compatible with other jobs at the same time (e.g. preparation of other exams). Lectures and tutorials will be in English, with the following schedule (provisional):
- Monday to Friday: lectures: 9.30-13.00, 15.00-18.30; office hour: 13.00-14.00
- Saturday: lectures 9:00-13:00
The course will be held in the Campus Economico San Giobbe at Università Ca’ Foscari, Venezia, Italy. Address: Dipartimento di Scienze Economiche - S. Giobbe, 873 - 30121 Venezia.
Participants will be hosted in the Ca' Foscari Residence in Santa Marta (as an exception, in case of reduced availability of rooms they will be accommodated in local hotels).
Fees and Enrollment
- Students, new graduated students, PhD students and temporary university staff: 340 euro
- University staff: 450 euro
- Others: 1500 euro
In case of enrollment in two or more courses, for a maximum of three, Student and Staff participants are entitled to a discount of 100 euros on each course. Other participants are entitled to a discount of 300 euros on each course.
The amount due by Master and PhD students from University of Ca' Foscari is 30 euro, since the rest of the fee is sponsored by the Venice centre in Economic and Risk Analytics for Public Policies (VERA)
Renounce and refund:
To submit a renounce request, please send an email to admin@side-iea.it.
You can give up immediately after the notification of acceptance or later.
After the payment, you can submit your renounce up to one week (7 days) from the beginning of the course (within the terms for refund) and ask for a refund with motivated reasons (health reasons to be documented, for study purposes or personal reasons). We will refund your fee with a deduction for administrative and organization costs:
150 Euro for the course in presence, 100 Euro for online course.
Over the terms for refund (less of 7 days from the beginning of the course) you need to motivate your request (as indicated above), which will be submitted to SIdE President.
Important dates:
Application Deadline: May 18th, 2021
Notification of acceptance will be posted by the 21th May, 2021
Deadline for Fee Payment is June 7th, 2021
Contacts
- For more information: Laura Urraci e-mail: info@side-iea.it
- For administrative issues : Laura Urraci (admin@side-iea.it), Alessandra Picariello (alessandra.picariello@unibo.it), phone:+39 0512092637;
