The topics of the workshop include large dimensional panel data, factor models, random matrix theory, sparse high-dimensional models, model selection, model averaging, large financial data, and other high-dimensional econometric models.
Speakers include:
- Jushan Bai (Columbia) “Likelihood approach to dynamic panel models with interactive effects”
- Peter Bühlmann (ETH Zurich)
- Mehmet Caner (North Carolina State University)
- Xiaohong Chen (Yale) “Optimal uniform convergence rates for sieve nonparametric instrumental variables regression”
- Jianqing Fan (Princeton) “Large panel test of factor pricing models”
- Marc Hallin (ECARES, Université libre de Bruxelles and ORFE, Princeton University)
- Bruce Hansen (Wisconsin-Madison) “Efficient shrinkage in parametric models”
- Christian Hansen (Chicago)
- Matt Harding (Stanford)
- Enno Mammen (Mannheim)
- Hyungsik Roger Moon (USC)
- Alexei Onatski (Cambridge) “Asymptotic analysis of the squared estimation error in misspecified factor models”
- Peter Robinson (LSE)
- Michael Wolf (University of Zurich) “Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions”
- Harrison Zhou (Yale) “Asyptotic normality and optimalities in estimation of large Gaussian graphical model”