This event is sponsored by the Department of Economics of Lancaster University, the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy (LUMS), and ESRC-NWSSDTP.
The aim of the Summer School is to provide an overview of cutting-edge research in applied macroeconometrics, and to offer opportunities to PhD students for interactions and exchange of ideas via poster presentations and a limited number of regular presentations.
The speakers of the event are :-
Prof. James Morley (University of Sydney and LUMS) will provide an introduction to nonlinear time series processes and their use in macroeconometric modelling. The class will cover standard univariate and multivariate models with regime-switching parameters, time-varying parameters, and structural breaks. The focus will be on what inferences are fundamentally different when allowing for nonlinearity and are not just a consequence of omitting possibly relevant multivariate information.
Prof. Luca Gambetti (Universitat Autonoma de Barcelona) will present several recent and popular methods, within time series models, designed to identify structural economic shocks and analyse their effects on the economy. He will also discuss several applications, the focus will be on policy shocks, news shocks and technology shocks among others.
Participation in the event is free of charge, catering will be provided, and on-campus accommodation can be booked at preferential rates. Participants are asked to stay for the entire duration of the event.