Frontiers of Theoretical Econometrics

Frontiers of Theoretical Econometrics

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International Conference on "Frontiers of Theoretical Econometrics" In celebration of Prof. Don Andrews' (Yale University) 60th birthday 80 leading Econometricians from around the world come together at Konstanz University for a one and half day long conference to exchange new ideas in theoretical…

Winfried Pohlmeier; Patrik Guggenberger (local organisers)


    • Sep 24, 2015 LATEST EPISODE
    • infrequent NEW EPISODES
    • 34m AVG DURATION
    • 7 EPISODES


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    Latest episodes from Frontiers of Theoretical Econometrics

    The Effects of Training Incidence and Duration on Labor Market Transitions

    Play Episode Listen Later Sep 24, 2015 34:32


    Bernd Fitzenberger develops a dynamic evaluation approach in discrete time to estimate the impact of training programs for the unemployed on employment transitions.

    HAR Inference: Recommendations for Practice

    Play Episode Listen Later Sep 24, 2015 32:49


    James H. Stock briefly reviews the large body of theory in this area, summarizes the main methods, and compares them in a range of controlled Monte Carlo experiments. The goal is to reach a recommendation for practitioners about how to compute standard errors in typical regression and GMM settings with heteroskedasticity and serial correlation, with the side constraint that it should be possible to explain the key elements of the method to an educated applied econometrician and that it should be readily implementable in common statistical software.

    PIES: Partial Identification by Extending Subdistributions

    Play Episode Listen Later Sep 24, 2015 40:29


    Alex Torgovitsky shows that sharp identi ed sets in a large class of econometric models can be characterized by solving linear systems of equations.

    Forecasting with Model Uncertainty: Representations and Risk Reduction

    Play Episode Listen Later Sep 24, 2015 36:09


    Kei Hirano considers forecasting with uncertainty about the choice of predictor variables. The researcher wants to select a model, estimate the parameters, and use the parameter estimates for forecasting.

    The Asymptotic IMSE of Averaging Series Regression

    Play Episode Listen Later Sep 24, 2015 30:15


    Bruce Hansen investigates the asymptotic integrated mean squared error (IMSE) of series regression. Least-squares and averaging least-squares estimators are investigated.

    Understanding Regressions with Observations Collected at High Frequency over Long Span

    Play Episode Listen Later Sep 24, 2015 31:02


    Nonparametric Euler Equation Identification and Estimation

    Play Episode Listen Later Sep 24, 2015 33:57


    Juan Carlos Escanciano introduces nonparametric identification and estimation of consumption based asset pricing Euler equations. This entails estimation of pricing kernels or equivalently marginal utility functions up to scale.

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