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2019 Canadian Econometric Study Group Meetings

UQAM - Cœur des sciences

From Friday 18 Oct 2019 at 6PM
To Sunday 20 Oct 2019 at 3:30PM

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36th Meeting of the Canadian Econometric Study Group 

 

Theme: Machine Learning Econometrics

 

The Canadian Econometrics Study Group (CESG) organized the 36th Meeting of the Canadian Econometric Study Group on October 18-20, 2019 in Montreal.

The conference was organized by the Departments of Economics at Université du Québec à Montréal (UQAM) and Concordia University and was hosted at UQAM.

 

Scientific committee:

                                                   

Local committee:
Marine Carrasco (Université de Montréal)   Prosper Dovonon (Concordia University)
Arthur Charpentier (UQAM)   Dalibor Stevanovic (UQAM)
Prosper Dovonon (Concordia University)   Han Xintong (Concordia University)
Debbie Dupuis (HEC Montréal)    
Alain Guay (UQAM)    
Silvía Gonçalves (McGill University)    
Benoit Perron (Université de Montréal)    
Dalibor Stevanovic (UQAM)    
Victoria Zinde-Walsh (McGill University)    

 

 

 


 

 

 

 

 

Keynote speakers

Gregory Duncan (Amazon and University of Washington)

Dacheng Xiu (University of Chicago)

 

 

Sponsors

 

Russell Davidson’s Canada Research Chair
in Economics

 

  

Jean Marie Dufour’s William Dow Chair
in Political Economy, McGill University

 

 

  

 

 

 

  

 

 

  
 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For more information, please contact the conference organizers at cesg.Montreal.2019@cirano.qc.ca.

Roy Allen

Assistant Professor, Department of Economics, University of Western Ontario
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Bertille Antoine

Associate Professor, Department of Economics, Simon Fraser University
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Yuehao Bai

Ph.D. Candidate in Economics, University of Chicago

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Marine Carrasco

A CIRANO Researcher and Fellow since 2007, Marine Carrasco is Full Professor in the Department of Economics at the Université de Montréal. She is also a member of the Centre interuniversitaire de recherche en économie quantitative (CIREQ) and research associate at the Info-Metrics Institute.

Holding a Ph.D. in Applied Mathematics from Toulouse 1 University Capitole, her research activities focus on two main topics. On the one hand, she is interested in parameter stability tests and their applications in macroeconomics and finance. On the other hand, she works on the resolution of inverse problems and their application in econometrics. In particular, she studies the generalized method of moments when there is an infinity of moment conditions and the estimation of models including a large number of predictors.

She has taught in the United States, at Ohio State University and Rochester University. She has also held a research position at CREST (INSEE, France). She joined the Department of Economics at the Université de Montréal in December 2005.

She received the Marcel-Dagenais prize from the Société canadienne de science économique in 2018, and the Econometric Theory Multa Scripsit Award in 2017.

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Minsu Chang

Assistant Professor, Department of Economics, Georgetown University
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Arthur Charpentier

Professor, Department of Mathematics, Université du Québec à Montréal
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Saraswata Chaudhuriy

Assistant Professor, Department of Economics, McGill University
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Harold D. Chiang

Ph.D. Candidate in Economics, Vanderbilt University
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Russell Davidson

Professor, Department of Economics, McGill University
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Antoine Djogbenou

Assistant Professor, Department of Economics, York University
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Prosper Dovonon

A CIRANO Researcher and Fellow since 2010, Prosper Dovonon is Associate Professor in the Department of Economics at Concordia University.

Holding a Ph.D. in Economics from the Université de Montréal, his research interests are econometrics, time series analysis and financial econometrics.

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Gregory Duncan

Affiliate Professor, University of Washington
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Debbie Dupuis

Professor, Department of Decision Sciences, HEC Montréal
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Bulat Gafarov

Assistant Professor, Agricultural and Resource Economics, University of California, Davis
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John W. Galbraith

A CIRANO Researcher and Fellow since 1998, President of CIRANO Scientific Committee, John W. Galbraith is Full Professor in the Department of Economics at McGill University.

Holding a Ph.D. in Econometrics from Oxford University, his fields of interest include time series econometrics, and empirical macroeconomics and finance. His recent work concerns maximum horizons forforecasts with statistical models in the fields of macroeconomics and financialvolatility, and estimating long-memory models and GARCH models.

John W. Galbraith was Head of the Department of Economics at McGill University from 2010 to 2016. He was a member of the Board of Directors of the Canadian Economics Association (1997-2001, 2003-2006) and President in 2004-2005. He was co-editor of the Canadian Journal of Economics, 2000-2004.

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Silvia Gonçalves

A CIRANO Researcher and Fellow since 1999, Silvia Gonçalves is Professor in the Department of Economics at McGill University. She is also Co-Editor of the Journal of Financial Econometrics, Associate Editor of the ournal of Econometrics, of the Journal of Time Series Analysis, of the Journal of Business and Economics Statistics, of the Econometrics Journal and of the Portuguese Economic Journal.

Holding a Ph.D. in Economics from the University of California, San Diego, her areas of specialization are financial econometrics, time-series analysis and econometric theory. She is a specialist in the bootstrap technique.

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Christian Gouriéroux

Professor, Department of Economics, University of Toronto
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Jiaying Gu

Assistant Professor, Department of Economics, University of Toronto
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Xintong Han

Assistant Professor, Department of Economics, Concordia University
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Joann Jasiak

Professor, Department of Economics, York University
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Lynda Khalaf

Full Professor and Co-Director of the CMFE, Carleton University
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Doosoo Kim

Asssistant Professor, Department of Economics, Ryerson University
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Robin Lumsdaine

Professor Department of Finance and Real Estate, Kogod School of Business, American University
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Vadim Marmer

Associate Professor, UBC Vancouver School of Economics, University of British Columbia
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Alex Maynard

Professor, Department of Economics and Finance, University of Guelph
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William McCausland

A CIRANO Researcher and Fellow since 2001, William McCausland is Associate Professor in the Department of Economics at the Université de Montréal. He is also a member of the Centre interuniversitaire de recherche en économie quantitative (CIREQ).

Holding a Ph.D. in Economics from the University of Minnesota, his current research focuses on the application of Bayesian econometrics in analyzing time series in economics and finance, demand by consumers and companies, discrete choices in experiments and subjects' behaviour in repeated game experiments.

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Ismael Mourifié

Assistant Professor, Department of Economics, University of Toronto
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Thomas Parker

Assistant Professor, Department of Economics, University of Waterloo
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Benoit Perron

A CIRANO Researcher and Fellow since 2001, Benoit Perron is Full Professor in the Department of Economics at Université de Montréal.

Hlding a Ph.D. in Economics from Yale University, his research interests are financial and macroeconomic data modelling and the development of inference tools. His recent work has focused on the use of factor models and multi-horizon forecasting.

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Guillaume A. Pouliot

A CIRANO Associate Researcher since 2019, Guillaume A. Pouliot is Assistant Professor at the Harris School of Public Policy at the University of Chicago.

Holding a Ph.D. in Economics from Harvard University, his current research focuses on developing statistical methods for nonstandard problems in public policy and economics, as well as the extension of machine learning methods for applications in public policy, and problems at the interface of econometrics and optimization.

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Francesca Rondina

Associate Professor, Economics, Faculty of Social Sciences, University of Ottawa
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Youngki Shin

Associate Professor, Department of Economics, McMaster University
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Iain Snoddy

Ph.D. Candidate in Economics, Vancouver School of Economics, University of British Columbia
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Lars Stentoft

A CIRANO Researcher and Fellow since 2007, Lars Stentoft is Associate Professor in the Department of Economics at the University of Western Ontario. He is also affiliated with Interuniversity Centre on Risk, Economic Policies, and Employment (CIRPÉE), the Center for Research in Econometric Analysis of Time Series (CREATES) and the Danish Center for Accounting and Finance (D-CAF).

Holding a Ph.D. in Economics from Aarhus University, his field of research is concerned with financial econometrics.

He has published in journals such as Management Science, Journal of Empirical Finance, and Review of Derivatives Research.

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Dalibor Stevanovic

A CIRANO Researcher and Fellow since 2011, responsible of the CIRANO Pole on Modeling and Main Researcher of the theme Economic and Fiscal Policy, Dalibor Stevanovic is Associate Professor in the Department of Economics at the École des sciences de la gestion of the Université du Québec à Montréal and co-holder of the Chair in Macroeconomics and Forecasting at ESG-UQAM.

Holding a Ph.D. in Economics from Université de Montréal, his research interests are time series econometrics, automatic learning and massive data, with applications in macroeconomics and finance.

After a bachelor's and master's degree in economics from Université Laval in Quebec City, Dalibor Stevanovic obtained his doctorate under the supervision of Jean-Marie Dufour and Jean Boivin. He then did a postdoctoral fellowship as part of the Max Weber programme at the European University Institute in Florence.

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Xiaoting Sun

Assistant Professor, Department of Economics, Simon Fraser University
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Pascale Valery

Pascale Valery is an associate professor in the Finance Department at HEC Montréal. She holds a Ph.D. in economics from the Université de Montréal.

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Matthew Webb

Assistant Professor, Department of Economics, Carleton University
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Hui Xiao

University of Guelph

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Dacheng Xiu

Professor, Booth School of Business, University of Chicago
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Qiao Yang

Assistant Professor, School of Entrepreneurship and Management, ShanghaiTech University
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Victoria Zinde-Walsh

Professor, Department of Economics, McGill University
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Program

Friday, October 18
18:00 - 20:00
Registration @ Entrance hall of 200, rue Sherbrooke Ouest, Montréal, Welcome cocktail, SESSION I: POSTERS SESSION I (Room SH-4800) (See Program appendix for the list of posters)
Saturday, October 19
8:00 - 8:30
Registration @ Entrance hall of 200, rue Sherbrooke Ouest, Montréal
Saturday, October 19
8:30 - 9:15
SESSION II: KEYNOTE ADDRESS I – Chair: Prosper Dovonon (Concordia University)
Gregory Duncan, Prosper Dovonon
Saturday, October 19
9:15 - 10:35
SESSION III: Forecasting using machine learning – Chair: Debbie Dupuis (HEC Montréal)
Debbie Dupuis, Robin Lumsdaine, Alex Maynard, Dalibor Stevanovic, Francesca Rondina
Saturday, October 19
10:35 - 10:55
Break
Saturday, October 19
10:55 - 12:15
SESSION IV: Nonparametric MLE and dynamic deconvolution – Chair: Benoit Perron (Université de Montréal)
Benoit Perron, Christian Gouriéroux, Victoria Zinde-Walsh, Jiaying Gu, Thomas Parker
Saturday, October 19
12:15 - 13:15
Lunch (Room SH-4800)
Saturday, October 19
13:15 - 15:15
SESSION V: In memory of Ramazan Gençay – Chair: Vicky Zinde-Walsh (McGill University)
Victoria Zinde-Walsh, Bertille Antoine, Lars Stentoft, Youngki Shin, William McCausland, Marine Carrasco, Doosoo Kim
Saturday, October 19
15:15 - 15:35
Break
Saturday, October 19
15:35 - 16:55
SESSION VI: Model selection – Chair: Arthur Charpentier (UQAM)
Hui Xiao, Qiao Yang, Arthur Charpentier, Antoine Djogbenou, Minsu Chang
Saturday, October 19
16:55 - 18:00
SESSION VII: POSTERS SESSION II (Room SH-4800) (See Program appendix for the list of posters)
Saturday, October 19
19:00 - 21:00
CONFERENCE DINNER (invitation only)
Sunday, October 20
8:30 - 9:15
SESSION VIII: KEYNOTE ADDRESS II – Chair: Sílvia Gonçalves (McGill University)
Dacheng Xiu, Silvia Gonçalves
Sunday, October 20
9:15 - 10:35
SESSION IX: Matching and aggregation with heterogeneous preferences– Chair: Joann Jasiak (York U.)
Joann Jasiak, Roy Allen, John W. Galbraith, Xiaoting Sun, Ismael Mourifié
Sunday, October 20
10:35 - 10:55
Break
Sunday, October 20
10:55 - 12:20
SESSION X: Generative models and networks – Chair: Pascale Valery (HEC Montréal)
Pascale Valery, Guillaume A. Pouliot, Xintong Han, Vadim Marmer, Bulat Gafarov
Sunday, October 20
12:20 - 13:30
Lunch (Room SH-4800)
Sunday, October 20
13:30 - 13:40
AWARD CEREMONY – Chair: Benoit Perron (Université de Montréal, Director of CIREQ)
Sunday, October 20
13:40 - 15:40
SESSION XI: Bootstrap inference and Robustness – Chair: Lynda Khalaf (Carleton University)
Lynda Khalaf, Russell Davidson, Matthew Webb, Yuehao Bai, Harold D. Chiang, Iain Snoddy, Saraswata Chaudhuriy

Location


200 Rue Sherbrooke Ouest, Montréal, QC H2X 1X5, Canada