11th European Seminar on Bayesian Econometrics

2 – 3 September 2021, Madrid Spain

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Two-day course

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Thursday, September 2

8.30	Registration
9.00	Welcome address: Conchi Ausin and Sylvia Kaufmann
9.10	Keynote speech I Daniel Peña (Universidad Carlos III de Madrid) – In person An Ecumenical Approach for Big Learning with High Dimensional Time Series (joint with R. Tsay) Chair: Pedro Galeano
10.00	Invited paper I Gael Martin (Monash University) – Online Loss-Based Variational Bayes Prediction (joint with D. T. Frazier, R. Loaiza-Maya and B. Koo) Chair: Pedro Galeano
10.40	Coffee break
11.00	Contributed session Elmar Mertens (Deutsche Bundesbank) – Online Addressing COVID-19 Outliers in BVARs with Stochastic Volatility Federica Brenna (KU Leuven and European Central Bank) – Online Combining Bayesian VARs with survey density forecasts: does it pay off Fabio Parla (Central Bank of Ireland) – Online Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs Chair: Helena Veiga
12.30	Poster session
13.30	Lunch
15.00	Keynote speech II Herman van Dijk (Erasmus University Rotterdam) – Online Quantifying time-varying forecast uncertainty and risk for the real price of oil Chair: Conchi Ausin
15.50	Invited paper II Enrique Sentana (CEMFI) – In person Normal but Skewed? (joint with D. Amengual and X. Bei) Chair: Conchi Ausin
16.30	Cofee break
16.50	Contributed session Mike West (Duke University ) – Online Perspectives on Bayesian decision analysis and constrained forecasting Gary Koop (University of Strathclyde) – Online Tail Forecasting with Multivariate Bayesian Additive Regression Trees Sameer Deshpande (Massachusetts Institute of Technology) – Online VCBART: Bayesian trees for varying coefficients Giulia Carallo (Ca’ Foscari University of Venice) – In person Generalized Poisson Difference Autoregressive Processes Chair: Mike Wiper
18.50	Conclusion
20.30	Dinner

Friday, September 3

9.10	Keynote speech III Helga Wagner (Universität Linz) – Online Bayesian treatment effects models Chair: Conchi Ausin
10.00	Invited paper III Roberto Casarin (Università Ca’Foscari Venezia) – Online Bayesian Inference on Probabilistic Surveys Chair: Conchi Ausin
10.40	Coffee break
11.00	Contributed session Mengheng Li (University of Technology Sydney) – Online Is dimensionality reduction a curse? Bayesian analysis of the mean-volatility dynamic factor model Florian Huber (University of Salzburg) – Online Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models Matteo Iacopini (Vrije Universiteit Amsterdam) – Online Proper scoring rules for evaluating asymmetry in density forecasting Chair: Pedro Galeano
12.30	Poster session
13.30	Lunch
15.00	Young Researcher session Karin Klieber (University of Salzburg) – Online Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques Gregor Zens (WU Wien) – In person Ultimate Pólya Gamma Samplers – Efficient MCMC for possibly imbalanced binary and categorical data Annika Camehl (Erasmus University Rotterdam) – Online Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks Daniel R. Kowal (Rice University) – Online Semiparametric Functional Factor Models with Bayesian Rank Selection Chair: Mike Wiper
17.00	Coffee break
17.20	Invited paper IV Manuel Arellano (CEMFI) – In person Modelling subjective probability distributions for future income (joint with O. Attanasio, B. Augsburg and S. Crossman) Chair: Helena Veiga
18.00	Contributed session Christian Matthes (Indiana University) – Online Economic Theories and Macroeconomic Reality Thomas Hasenzagl (University of Minnesota) – Online Monitoring the Economy in Real-Time: Trends and Gaps in Real Activity and Prices Martin Bruns (University of East Anglia) – In person Monetary policy shocks over the business cycle Chair: Helena Veiga
19.30	Closing address

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