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External Activity: 2019 Canadian Econometric Study Group Meetings

UQAM - Cœur des sciences

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

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

 

 

 


 

 

 

 

 

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 Université de Montréal.

Marine Carrasco obtained her Ph.D. from Université Toulouse 1 (France). She has taught in the United States, 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.

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 is working on the resolution of inverse problems and their application in econometrics. In particular, she studies the generalized moment method when there are an infinite number of moment conditions and the estimation of models including a large number of predictors.
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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

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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

John W. Galbraith has a Ph.D. in econometrics from Oxford University, and has been a professor in the Department of Economics at McGill University since 1987. 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.
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Silvia Gonçalves

Sílvia Gonçalves has a Ph.D. from the University of California in San Diego, and has been a Full Professor in the Department of Economics of the Western University. since July 2015. Her areas of specialization are financial econometrics, time series analysis and econometric theory. She is a specialistin 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

William McCausland received his Ph.D. from the University of Minnesota in 2002. He then joined the Department of Economics at the Université de Montréal. His current research focuses on the application of Bayesian econometrics to analyze time series in economics and finance and discrete choice in 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 a full professor in the Department of Economics at Université de Montréal. 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. 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

Lars Stentoft is Associate Professor at the Department of Economics, University of Western Ontario. He earned his Ph.D. degree in economics from Aarhus University in 2004. Stentoft’s field of research is concerned with financial econometrics where he has published in journals such as Management Science, Journal of Empirical Finance, and Review of Derivatives Research.
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Dalibor Stevanovic

Dalibor Stevanovic is an associate professor in the Department of Economics at the École des sciences de la gestion of the Université du Québec à Montréal since 2012. He is a Fellow and head of the Pôle d'excellence en modélisation de l'économie du Québec at CIRANO. After a bachelor's and master's degree in economics from Université Laval in Quebec City, Mr. Stevanovic obtained a doctorate in economics from Université de Montréal 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. His research areas are mainly in time series econometrics, automatic learning and massive data, with applications in macroeconomics and finance.
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Xiaoting Sun

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

Associate Professor, Department of Finance, HEC 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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Schedule

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

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