Workshop on Developments in observation-driven time series models
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Series
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Speaker(s)Alessandra Luati (University of Bologna, Italy and Imperial College London, United Kingdom), Sébastien Laurent (Aix-Marseille University, France), and Dick van Dijk (Erasmus University Rotterdam)
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FieldEconometrics
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LocationTinbergen Institute Amsterdam, room 1.01
Amsterdam -
Date and time
March 24, 2025
16:30 - 18:00
Program
16:30 -17:00 Alessandra Luati (University of Bologna & Imperial College London),
Title: TBA
17:00-17:30 Sébastien Laurent (IAE Aix-en-Provence & Aix-Marseille Université),
“Penalized QMLE and model selection of time series regressions”
joint paper with Christian Francq and
Julie Schnaitmann
17:30-18:00 Dick van Dijk (Erasmus University
Rotterdam)
“Implicit score-driven filters”