6 June 2022 - 6 June 2022
9:00AM - 7:30PM
Durham University Business School, MHL405
The QRFE-Econometrics and Big Data Cluster Workshop on Econometrics will take place on 6 June 2022 in MHL405.
QRFE-Econometrics and Big Data Cluster Workshop on Econometrics
If you intend to join us in-person, please register here. Please note that if you plan to join us for lunch/dinner we need your registration by 15 May 2022 to ensure appropriate catering/restaurant arrangements. If you intend to join us via Zoom, please register here.
Our speakers this year are:
Liangjun Su (Singapore Management University)
Liangjun Su is C.V. Starr Chair Professor of Economics in the School of Economics and Management, Tsinghua University. He earned his PhD in economics at the University of California, San Diego in 2004 and spent his first four years as assistant and associate professor in the Guanghua School of Management, Peking University before moving to the Singapore Management University (SMU) in 2008. He became a full professor of economics at SMU in July 2012 and one of the first named chair professors of economics at SMU in July 2016. He decided to move back to China and join Tsinghua University in 2020.
Professor Su' s main research interests include econometric theory, nonparametric econometrics, panel data models, factor models, big data analysis, and machine learning. He has published more than 70 papers on top international economics, statistics and informatics journals such as Econometrica, Econometric Theory, IEEE Transactions on Information Theory, Journal of Machine Learning Research, Journal of Applied Econometrics, Journal of Econometrics, Journal of the American Statistical Association, Journal of Business & Economic Statistics, and Quantitative Economics. His works have been cited in various textbooks including Li and Racine (2006, Nonparametric Econometrics, Princeton University Press), Hsiao (2014, Analysis of Panel Data, Cambridge University Press), Pesaran (2015, Time Series and Panel Data Econometrics, Oxford University Press), Henderson and Parmeter (2015, Applied Nonparametric Econometrics, Cambridge University Press) and Racine (2019, An Introduction to the Advanced Theory and Practice of Nonparametric Econometrics). He won the Multa Scripsit award from Econometric Theory and was elected as a fellow of Journal of Econometrics in 2014. He is a senior fellow of Rimini Centre for Economic Analysis (RCEA).
Currently, Professor Su is a co-editor for Econometric Theory and an associate editor for Journal of Econometrics, Journal of Business & Economic Statistics and Econometric Reviews. He also serves on the editorial board of Journal of Systems Science and Complexity.
Hashem Pesaran (University of Southern California)
Dr. M. Hashem Pesaran is the John Elliot Distinguished Chair in Economics and Professor of Economics at USC Dornsife, and the Director of Center for Applied Financial Economics (https://dornsife.usc.edu/center-cafe/). He was the Director of the USC Dornsife Institute of New Economic Thinking ( https://dornsife.usc.edu/inet ) from August 2014 through June 2018. He is also an Emeritus Professor of Economics at Cambridge University and a Lifetime Fellow of Trinity College, Cambridge. Previously, he was head of the Economic Research Department of the Central Bank of Iran (1974-76) and the Under-Secretary of the Ministry of Education (1976-78), Iran. He has also been a Professor of Economics and the Director of the Applied Econometrics Program at UCLA (1989-93), and a Visiting Professor at the Institute of Advanced Studies in Vienna, and a visiting Professor at the University of Pennsylvania.
Dr. Pesaran is a Fellow of the British Academy, the Econometric Society and the Journal of Econometrics. He was awarded an Honorary Doctorate by the University of Salford in 1993, the University of Goethe, Frankfurt in 2008, and the University of Maastricht in 2013 and the University of Economics in Prague in 2016. In September 2013, he was named as Thomson Reuters Citation Laureate in Economics. More recently he was named by Thomson Reuters as one of the World’s Most Influential Scientific Minds for 2014 and 2015.
He received the George Sell Prize (1990) and the Royal Economic Society Prize (1992), the Best Paper Award of Econometric Reviews (2004-2005), Best Paper award of the International Journal of Forecasting (2007), Econometric Theory Award (2008), was named the Thomson Reuters Citation Laureate in Economics (2013).
Bas Werker (Tilburg University)
Bas Werker is professor of Finance and Econometrics at Tilburg University. His research interests cover various fields in asset pricing and asymptotic statistics. He has published work in journals as the Annals of Statistics, the Journal of Econometrics, the Journal of Finance and the Review of Financial Studies. He's currently associate editor for Econometrica and the Journal of Financial Econometrics. In the past he has been affiliated to Université de Sciences Sociales in Toulouse and the Université Libre de Bruxelles. He has taught courses in econometrics, investment analysis, and statistics at both the undergraduate and graduate level in various schools around the world. Moreover he supervises several Ph.D. students. He is a Fellow of the Society for Financial Econometrics and Netspar researcher coordinator. Bas Werker's societal research interests are in pension system design and data science applications.
Jean-Marie Dufour (McGill University)
Jean-Marie Dufour is an economist and statistician who specializes in the development of methods for the analysis of economic and financial data. He holds a B.Sc. in Mathematics (McGill University), a M.Sc. in Statistics (Université de Montréal), and a Ph.D. in Economics (University of Chicago). Between 1979 and 2007, he was Professor of Economics at the Université de Montréal, where he held the Canada Research Chair in Econometrics (2001-2007). Since 2007, he is Professor of Economics at McGill University and holds the William Dow Chair in Economics. From 2007 to 2016, he was also a held the prestigious title of Bank of Canada Research Fellow. His research involves important contributions to econometric methodology -- especially the development of more reliable statistical tests in structural and dynamic models (simulation-based inference, identification, causality), nonparametric methods in econometrics, financial statistics (asset pricing models, volatility modelling), methods for inequality analysis, and empirical work on a wide range of economic issues, such as taxation and investment, export financing, policy analysis in developing countries, dynamic macroeconomic models for forecasting and policy evaluation, the pricing of financial assets, and inequality measurement. He has published more than 150 articles, book chapters and special issue, most of which in international journals and publishers.
The quality of his research has been recognized by several prizes, including: Fellow of the Royal Society of Canada, Fellow of the Econometric Society, Fellow of the American Statistical Association, Elected member de l'International Statistical Institute, Fellow of the International Association for Applied Econometrics, Fellow of the Canadian Economics Association, the Killam Prize for Social Science (Government of Canada), the Léon-Gérin Prize for human sciences (Government of Québec), the Marcel-Vincent prize for the social sciences (Association francophone pour le savoir), the Konrad-Adenauer Research award (Alexander von Humboldt Foundation, Germany), the John Rae Prize for Outstanding Research (Canadian Economics Association), the Marcel-Dagenais prize (Société canadienne de science économique), a Guggenheim Fellowship (USA), a Killam Fellowship, the Pierre-de-Fermat Chair of Excellence (Université de Toulouse I, 2011-2013), and a Banco Santander "Cátedra de Excelencia" (Universitad Carlos III de Madrid, 2011-2012). He is also Officier de l'Ordre National du Québec (2006) and Officer of the Order of Canada (2008).
Jean-Marie Dufour has been very active in scientific organizations and conference organizations, including: President of the Canadian Economics Association (2002-2003), President of the Société Canadienne de Science Économique (1999-2000), Director of the Canadian Econometric Study Group (since 2002), Director of the Centre de recherche et développement en économique, Member of North American Regional Standing Committee of The Econometric Society (2015-2016), Member of Governing Council of the Social Sciences and Humanities Research Council of Canada (since 2013), Member of Donner Prize Jury for the Best Public Policy Book by a Canadian (since 2014), Director of a research group on "Mathematical and Statistical Methods for Financial Modelling and Risk Management" within one of the Canadian networks of centers of excellence (MITACS). He recently organized in Montréal the 2015 World Congress of the Econometric Society, the most prestigious international meeting in the field of Economics. He is very well known outside Canada and has frequently visited prestigious international universities.
Barbara Rossi (Universitat Pompeu Fabra & CREI)
Barbara Rossi is an ICREA professor of Economics at UPF and BSE Research Professor. She previously has been an Associate Professor with tenure at the department of Economics at Duke University, after earning her PhD from Princeton University. She is a CEPR Fellow, a member of the CEPR Business Cycle Dating Committee, and a Director of the International Association of Applied Econometrics. She has also been visiting researcher at the University of California-Berkeley, the University of Montreal in Canada, UC San Diego, the Federal Reserve Banks of Atlanta and Philadelphia, Norges Bank, Bank of France, and ENSAE-CREST in France.
Professor Rossi specializes in the fields of Time Series Econometrics, as well as Applied International Finance and Macroeconomics. Her current research focuses on forecasting and macroeconometrics. Professor Rossi has published her research findings in the Review of Economic Studies, Quarterly Journal of Economics, the Journal of Business and Economic Statistics, the International Economic Review, Econometric Theory, the Journal of Applied Econometrics, the Journal of Money, Credit and Banking, Journal of Econometrics, the Review of Economics and Statistics, the Journal of International Money and Finance and Macroeconomic Dynamics. She has presented her findings at a variety of professional conferences and meetings, including the Econometric Society Meetings, the SED meetings, the Joint Statistical Meetings, the NBER-NSF Time Series Conference, the NBER, as well as the AEA meetings.
She received two grants from the National Science Foundation, a Marie Curie and an ERC grant. She also wrote a chapter on "Advances in Forecasting under Model Instabilities" for the Handbook of Economic Forecasting (Elsevier-North Holland eds.), a chapter on "Forecasting in Macroeconomics" for the Handbook of Research Methods and Applications in Empirical Macroeconomics, and an article for the Journal of Economic Literature.
Along with her teaching and research responsibilities, Professor Rossi holds various other professional positions. She serves as the editor of the Journal of Applied Econometrics and as associate editor of Quantitative Economics, and has served as associate editor for the Journal of Business and Economic Statistics and the Journal of Economic Dynamics and Control. She was the Program Chair for the 2016 Econometric Society European Summer Meetings and the 2014 International Association of Applied Econometrics Conference. She is a member of the Council of the European Economic Association (2017-2021).
Barbara Rossi’s research has been supported by the National Science Foundation through Grants NSF #0647627 and #1022125, the Marie Curie Fellowship program, the Spanish Ministry of Research and the ERC through Grant 615608.
Fabio Canova (Norwegian Business School)
Fabio Canova got his Ph.D. in economics from the University of Minnesota. He has been assistant professor at Brown University and University of Rochester; associate professor at EUI and Brown University; and full professor at the University of Catania, Modena, Southampton and Universitat Pompeu Fabra. He is currently Chair in Monetary Economics at the University of Bern, a ICREA research professor, and a resercher with the CEPR. He has taught classes in numerous universities around the world and given professional courses at the Bank of England, Riksbank, Bank of Italy, Bundesbank, ECB, Bank of Spain, Bank of Portugal, Bank of Hungary, Bank of Argentina, Banco do Brazil, Banco de Peru, South African Central Bank, Central Bank of Indonesia, Swiss National Bank, Banco de Boliva, at the EABCN, at the Central Bank course in Genzersee, the EU commission, the UK Foreign Office and UK treasury, among others. He has held consultancy positions with the Bank of England, the ECB, the Bank of Italy and the Bank of Spain. He is a member of the CEPR Dating Business Cycle Committee, of the Applied Macroeconomic Network (AMeN), and of the Scientific Committee of several international conferences. He has been ranked in the Econometrics and Applied Econometrics Hall of Fame and in the Top 100 most productive economists of the world in several polls over the last 10 years. He has held editorial positions with the European Economic Review and the Journal of Applied Econometrics, he is currently coeditor of the Journal of the European Economic Association and has participated in a number of international conferences. He has published widely in international journals and his graduate textbook, Methods for Applied Macroeconomic Research, has been published in 2007 by Princeton University Press.
Lynda Khalaf (Carlton University)
Lynda Khalaf has generated methodological innovations in econometrics and contributed significantly to theoretical and empirical advances in economics more broadly. Her theoretical contributions are internationally recognized, especially regarding simulation-based and irregular inference methods. Her own empirical work challenges conventional wisdom on financial, macro-economic and environmental models.
Lynda Khalaf is a specialist in econometrics and Canada Research Chair holder 2004-2008, with more than 47 refereed publications in leading research outlets in Economics (with more than 1,300 citations) and various and ongoing research funds from major Canadian foundations. She is ranked in the top 5% of economists in the world according to RePEc. Dr. Khalaf directed and published with a number of graduate MA and PhD students, now mostly at the Canadian federal government and in academia. Four PhD students under supervision won medals or awards/distinctions for their thesis work. Served as associate and guest editor for Computational Statistics and Data Analysis, and for Actualité économique. She has co-organized and served on the scientific and organizing committee of a number of major international conferences, and keynote speaker at five international events. Dr. Khalaf also chaired the Social Sciences and Humanities Research Council of Canada Adjudication Committee 7 for Economics in 2009-2010. She has also presided the Société Canadienne de Science Économique: Président Désigné, 2011-2012; Président 2012-2013; Président sortant 2012-2013.